Arbeitspapier
Modelling long-term electricity contracts at EEX
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: IES Working Paper ; No. 8/2011
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Forecasting Models; Simulation Methods
Contingent Pricing; Futures Pricing; option pricing
Economic Development: Agriculture; Natural Resources; Energy; Environment; Other Primary Products
- Thema
-
electricity futures
EEX
ARIMAX
emission allowances
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Flasza, Robert
Rippel, Milan
Šolc, Jan
- Ereignis
-
Veröffentlichung
- (wer)
-
Charles University in Prague, Institute of Economic Studies (IES)
- (wo)
-
Prague
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Flasza, Robert
- Rippel, Milan
- Šolc, Jan
- Charles University in Prague, Institute of Economic Studies (IES)
Entstanden
- 2011
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