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http://hdl.handle.net/11531/7789
Título : | Fuel prices scenario generation based on a multivariate GARCH model for risk analysis in a wholesale electricity market |
Autor : | Batlle López, Carlos Barquín Gil, Julián |
Fecha de publicación : | 1-may-2004 |
Resumen : | This paper presents a fuel prices scenario generator in the frame of a simulation tool developed to support risk analysis in a competitive electricity environment. The tool feeds different exogenous risk factors to a wholesale electricity market model to perform a statistical analysis of the results. As the different fuel series that are studied, such as the oil or gas ones, present stochastic volatility and strong correlation among them, a multivariate Generalized Autoregressive Conditional Heteroskedastic model has been designed in order to allow the generation of future fuel prices paths. The model makes use of a decomposition method to simplify the consideration of the multidimensional conditional covariance. An example of its application with real data is also presented. |
Descripción : | Artículos en revistas |
URI : | https:doi.org10.1016j.ijepes.2003.10.007 |
ISSN : | 0142-0615 |
Aparece en las colecciones: | Artículos |
Ficheros en este ítem:
Fichero | Tamaño | Formato | |
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IIT-03-117R.pdf | 220,1 kB | Adobe PDF | Visualizar/Abrir Request a copy |
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