| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 6694214 | Applied Energy | 2013 | 13 Pages |
Abstract
⺠A proposal of a joint modelling of fossil fuel, CO2 and electricity prices is presented in this work. ⺠Comparison of several univariate and multivariate models in terms of prediction accuracy for these series. ⺠Conditionally heteroskedastic dynamic factor model for extracting common features in the multivariate volatility. ⺠Common volatility factors extracted allows to enhance forecasting intervals and have an economical interpretation. ⺠Starting point for risk management or portfolio optimization under uncertainty in the current context of energy markets.
Related Topics
Physical Sciences and Engineering
Energy
Energy Engineering and Power Technology
Authors
Carolina GarcÃa-Martos, Julio RodrÃguez, MarÃa Jesús Sánchez,