Direkt zur Hauptnavigation springen Direkt zum Inhalt springen
info(at)avldigital.remove-this.de
Deutsch English
Filtern nach
Aktive Filter
Letzte Suchanfragen

Ergebnisse für *

Zeige Ergebnisse 1 bis 2 von 2.

  1. Modelling long-term electricity contracts at EEX
    Autor*in: Flasza, Robert; Rippel, Milan; Šolc, Jan
    Erschienen: 2011
    Verlag:  Institute of Economic Studies, Faculty of Social Sciences, Charles University of Prague, Prague

    The main aim of this paper is to develop and calibrate an econometric model for modelling prices of long term electricity futures contracts. The calibration of our model is performed on data from EEX AG allowing us to capture the specific features of... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 167 (2011,8)
    Fernleihe:
    keine Fernleihe

     

    The main aim of this paper is to develop and calibrate an econometric model for modelling prices of long term electricity futures contracts. The calibration of our model is performed on data from EEX AG allowing us to capture the specific features of German electricity market. The data sample contains several structural breaks which have to be taken into account for modelling. We model the data with an ARIMAX model which reveals high correlation between the price of electricity futures contracts (namely Phelix Base Fututes with next year's delivery) and prices of long-term futures contracts of fuels (namely coal, natural gas and crude oil). Besides this, also a share price index of representative electricity companies traded on Xetra, spread between 10Y and 1Y German bonds and exchange rate between EUR and USD appeared to have significant explanatory power over these futures contracts on EEX. -- electricity futures ; EEX ; ARIMAX ; emission allowances

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/83374
    Schriftenreihe: IES working paper ; 8/2011
    Schlagworte: Energiehandel; Futures; Modellierung; Strukturbruch; Deutschland
    Umfang: Online-Ressource (PDF-Datei: 13 S., 258,24 KB), graph. Darst.
  2. Value at risk forecasting with the ARMA-GARCH family of models in times of increased volatility
    Autor*in: Jánský, Ivo; Rippel, Milan
    Erschienen: 2011
    Verlag:  Institute of Economic Studies, Faculty of Social Sciences, Charles University of Prague, Prague

    The paper evaluates several hundred one-day-ahead VaR forecasting models in the time period between the years 2004 and 2009 on data from six world stock indices - DJI, GSPC, IXIC, FTSE, GDAXI and N225. The models model mean using the ARMA processes... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 167 (2011,27)
    Fernleihe:
    keine Fernleihe

     

    The paper evaluates several hundred one-day-ahead VaR forecasting models in the time period between the years 2004 and 2009 on data from six world stock indices - DJI, GSPC, IXIC, FTSE, GDAXI and N225. The models model mean using the ARMA processes with up to two lags and variance with one of GARCH, EGARCH or TARCH processes with up to two lags. The models are estimated on the data from the in-sample period and their forecasting accuracy is evaluated on the out-of-sample data, which are more volatile. The main aim of the paper is to test whether a model estimated on data with lower volatility can be used in periods with higher volatility. The evaluation is based on the conditional coverage test and is performed on each stock index separately. The primary result of the paper is that the volatility is best modelled using a GARCH process and that an ARMA process pattern cannot be found in analyzed time series. -- VaR ; risk analysis ; conditional volatility ; conditional coverage ; garch ; egarch ; tarch ; moving average process ; autoregressive process

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/83376
    Schriftenreihe: IES working paper ; 27/2011
    Schlagworte: Risikomaß; Volatilität; Aktienindex; ARMA-Modell; ARCH-Modell; Autokorrelation
    Umfang: Online-Ressource (PDF-Datei: 14 S., 442,11 KB), graph. Darst.