Vector Autoregressive Models on the Polish Electric Energy Market

• Autorzy: Alicja Ganczarek-Gamrot
• Języki publikacji: EN

Abstrakty

EN

In this article the relation between three whole-day markets from Polish electric energy market was presented. Vector Autoregressive models of prices and volumes of electric energy from the Day Ahead Market (DAM), the Internet Electricity Trading Platform (IETP), and Balance Market (BM) were applied to describe similarities and dependence between them.(original abstract)

Słowa kluczowe

EN

Autoregression models; Electric power

PL

Modele autoregresji; Energia elektryczna

• Czasopismo: Studia Ekonomiczne / Akademia Ekonomiczna w Katowicach
• Rocznik: 2009
• Numer: nr 53 Metody wnioskowania statystycznego w badaniach ekonomicznych
• Strony: 121--134

Twórcy

autor

Alicja Ganczarek-Gamrot

• The Karol Adamiecki University of Economics in Katowice, Poland

Bibliografia

• Hamilton J.D. (1994): Time Series Analysis. Princeton University Press. Princeton.
• Lutkepohl H., Kratzig M. (2004): Applied Time Series Econometrics. Cambridge University Press, Cambridge.
• Osińska M. (2006): Ekonometria Finasowa. Wydawnictwo Naukowe PWN, Warszawa.
• Sims C.A. (1980): Macroeconomic and Reality. "Econometrica". 48, pp. 1-48.
• Zivot E., Wang J. (2006): Modeling Financial Time Series with S-plus. Springer Science and Business Media, New York.