Title :
Calibration of a SAS (spike-antispike) SETARX model for electricity prices
Author :
Lucheroni, Carlo
Author_Institution :
Sch. of Sci. & Technol., Univ. of Camerino, Camerino, Italy
Abstract :
Calibration of a threshold autoregressive econometric model able to include spikes and antispikes in the modelling of electricity hourly price time series is presented and discussed. The calibration method is tested on synthetic data obtained from the model itself.
Keywords :
calibration; econometrics; power markets; pricing; SAS calibration; SETARX model; electricity hourly price time series; electricity prices; spike-antispike; threshold autoregressive econometric model; Calibration; Data models; Econometrics; Electricity; Mathematical model; Synthetic aperture sonar; Trajectory;
Conference_Titel :
European Energy Market (EEM), 2012 9th International Conference on the
Conference_Location :
Florence
Print_ISBN :
978-1-4673-0834-2
Electronic_ISBN :
978-1-4673-0832-8
DOI :
10.1109/EEM.2012.6254740
