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| Campo DC | Valor | Lengua/Idioma |
|---|---|---|
| dc.contributor.author | Batlle López, Carlos | es-ES |
| dc.contributor.author | Barquín Gil, Julián | es-ES |
| dc.date.accessioned | 2016-05-23T03:06:58Z | - |
| dc.date.available | 2016-05-23T03:06:58Z | - |
| dc.date.issued | 2004-05-01 | es_ES |
| dc.identifier.issn | 0142-0615 | es_ES |
| dc.identifier.uri | https://doi.org/10.1016/j.ijepes.2003.10.007 | es_ES |
| dc.description | Artículos en revistas | es_ES |
| dc.description.abstract | 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. | es-ES |
| dc.description.abstract | 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. | en-GB |
| dc.format.mimetype | application/pdf | es_ES |
| dc.language.iso | en-GB | es_ES |
| dc.rights | es_ES | |
| dc.rights.uri | es_ES | |
| dc.source | Revista: International Journal of Electrical Power & Energy Systems, Periodo: 1, Volumen: online, Número: 4, Página inicial: 273, Página final: 280 | es_ES |
| dc.subject.other | Instituto de Investigación Tecnológica (IIT) | es_ES |
| dc.title | Fuel prices scenario generation based on a multivariate GARCH model for risk analysis in a wholesale electricity market | es_ES |
| dc.type | info:eu-repo/semantics/article | es_ES |
| dc.description.version | info:eu-repo/semantics/publishedVersion | es_ES |
| dc.rights.holder | es_ES | |
| dc.rights.accessRights | info:eu-repo/semantics/openAccess | es_ES |
| dc.keywords | Fuels; Monte Carlo methods; Power system modeling; Risk analysis; Stochastic processes | es-ES |
| dc.keywords | Fuels; Monte Carlo methods; Power system modeling; Risk analysis; Stochastic processes | en-GB |
| Aparece en las colecciones: | Artículos | |
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| Fichero | Descripción | Tamaño | Formato | |
|---|---|---|---|---|
| IIT-03-117R.pdf | 220,1 kB | Adobe PDF | Visualizar/Abrir Request a copy | |
| IIT-03-117R_preview | 2,74 kB | Unknown | Visualizar/Abrir | |
| IIT-03-117R_preview.pdf | 2,74 kB | Adobe PDF | Visualizar/Abrir |
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