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[PDF] Top 20 Is Indian spot electricity price series stationary?

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Is Indian spot electricity price series stationary?

Is Indian spot electricity price series stationary?

... modeling spot electricity prices particularly in the context of NordPool, CalPx and PJM markets but very few studies in literature have explored modeling spot electricity prices in ... See full document

6

Modeling hourly Electricity Spot Market Prices as non stationary functional times series

Modeling hourly Electricity Spot Market Prices as non stationary functional times series

... Modeling hourly Electricity Spot Market Prices as non stationary functional times series. Liebl, Dominik[r] ... See full document

25

Modeling hourly Electricity Spot Market Prices as non stationary functional times series

Modeling hourly Electricity Spot Market Prices as non stationary functional times series

... Particularly, electricity spot prices are usually mod- eled by the Cournot model or the Supply Function Equilibrium model (Klem- perer and Meyer, ... See full document

25

SPOT ELECTRICITY PRICE MODELLING AND FORECASTING

SPOT ELECTRICITY PRICE MODELLING AND FORECASTING

... Time series Autoregressive models such as ARMA, ARMAX, (Seasonal) ARIMA, GARCH, TAR and Markov regime-switching models fall under this ...with spot electricity price series, fundamental ... See full document

12

MODELLING ELECTRICITY SPOT PRICE TIME SERIES USING COLOURED NOISE FORCES

MODELLING ELECTRICITY SPOT PRICE TIME SERIES USING COLOURED NOISE FORCES

... The electricity sector has long been an integral part of the engine of economic growth and a central component of sustainable ...the electricity sector was turned on its head. Pre- viously, ... See full document

86

Forecasting Hourly Prices in Indian Spot Electricity Market

Forecasting Hourly Prices in Indian Spot Electricity Market

... electricity price. Leaving aside a few studies that belong to the time series econometrics literature, studies on short term spot electricity price forecasting mostly belong to ... See full document

32

Assessing the influence of spot price predictability on electricity futures hedging

Assessing the influence of spot price predictability on electricity futures hedging

... four spot time series analysed in Table 2 do not display significant skewness, whereas futures time series have significant skewness in all ...time series appearing in Table 2 have significant ... See full document

37

The Analysis of Spot Price Stochasticity in Deregulated Wholesale Electricity Markets

The Analysis of Spot Price Stochasticity in Deregulated Wholesale Electricity Markets

... different electricity markets. The New Zealand Electricity Market (NZEM) is a hydro-dominated system, with around 65% of average annual generation produced from hydro ...time series model for NZEM ... See full document

338

A Hybrid Simulation Model for Electricity Spot Price in a Deregulated Market

A Hybrid Simulation Model for Electricity Spot Price in a Deregulated Market

... the price of natural gas as a factor in the model of low ...The spot power price S(t) is drawn in our model from a distribution whose properties are ...incorporate price spikes while ... See full document

9

Assessing the influence of spot price predictability on electricity futures hedging

Assessing the influence of spot price predictability on electricity futures hedging

... four spot time series analysed in Table 2 do not display significant skewness, whereas futures time series have significant skewness in all ...time series appearing in Table 2 have significant ... See full document

37

COINTEGRATION OF SPOT PRICE AND FUTURE PRICE OF PEPPEREVIDENCE FROM INDIAN COMMODITY MARKET

COINTEGRATION OF SPOT PRICE AND FUTURE PRICE OF PEPPEREVIDENCE FROM INDIAN COMMODITY MARKET

... traders.The price discovery mechanism will facilitate the farmers and traders to effectively hedge the price risk by dealing in the Futures ...to price risk with respect to commodities.The ... See full document

14

Bayesian calibration and number of jump components in electricity spot price models

Bayesian calibration and number of jump components in electricity spot price models

... whose stationary distri- bution is the posterior distribution of the parameters in our model together with latent variables introduced to make the inference computationally tractable, see Section ... See full document

39

Price Discovery and Volatility Spillovers in Indian Spot Futures Commodity Market

Price Discovery and Volatility Spillovers in Indian Spot Futures Commodity Market

... futures price influenced the spot gold price, but the opposite was not ...the price discovery mechanism in the NSE spot and futures ...data series from June 12, 2000 to September ... See full document

18

Forecasting Spot Electricity Market Prices Using Time Series Models

Forecasting Spot Electricity Market Prices Using Time Series Models

... the price doesn’t show too much fluctuation between each hour and ...system price, on the other hand, higher reservoir level means lower the electricity market ...winter price goes up with ... See full document

89

Assessment of Price Risk of Power under Indian Electricity Market

Assessment of Price Risk of Power under Indian Electricity Market

... where Electricity is ...buy electricity, where prices are decided by market ...day-ahead spot market provides a neutral, transparent reference price for both the wholesale and retail ... See full document

6

Indian electricity market volume and price cross correlation analysis

Indian electricity market volume and price cross correlation analysis

... trend with the cross-over found at about ln(s)=3.46 (i.e. 32 data point hence 32 nd hour of the data which is ~1.3 days out of a monthly data length). Here fluctuations below the crossover are short-term while the ... See full document

5

Futures risk premium characterization and spot price modeling on the German electricity market

Futures risk premium characterization and spot price modeling on the German electricity market

... The residuals of the chosen ARMA(1,1) model were evaluated and plotted in various ways, see figure 5. From these subplots it is concluded that these residuals seem to be uncorrelated. The variance does not seem to be ... See full document

41

Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models

Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models

... time series model. In our case, price spikes play the role of ...a price spike) is subjective, and the decisions concerning how to identify them must be made on an individual ... See full document

23

Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models

Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models

... Unlike the California market, we did not have access to historical load data for Scandinavia. The air temperature was chosen as the exogenous (fundamental) variable, since it typically has the most influence on the ... See full document

20

Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling

Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling

... extreme price observations when the original log-price data are being used; it reacts less to such observations when the estimation is based on data that have been cleaned for ... See full document

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