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National Repository of Grey Literature 3 records found  Search took 0.00 seconds. 
Modelování spotových cen elektrické energie
 Šmíd, Vítězslav ; Honzík, Petr (advisor) ; Hencl, Stanislav (referee)
We describe a single-period vector autoregressive model with parameter restrictions and find a consistent estimator of the parameters. We apply several restricted models to electricity prices in two markets. The datasets are comprised of the settlement prices of day-ahead auctions in which market participants bid on next day's electricity deliveries in 24 separate hourly blocks. We therefore model the data as a time series in R^24. To avoid overfitting we crossvalidate all models using sliding windows of training and testing data. We find that simple models perform better because they are more resilient in volatile periods than more comprehensive models. We suggest that model performance could be improved by incorporating exogenous data, such as weather conditions. Powered by TCPDF (www.tcpdf.org)
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Modelování spotových cen elektrické energie
 Šmíd, Vítězslav ; Honzík, Petr (advisor) ; Hencl, Stanislav (referee)
We describe a single-period vector autoregressive model with parameter restrictions and find a consistent estimator of the parameters. We apply several restricted models to electricity prices in two markets. The datasets are comprised of the settlement prices of day-ahead auctions in which market participants bid on next day's electricity deliveries in 24 separate hourly blocks. We therefore model the data as a time series in R^24. To avoid overfitting we crossvalidate all models using sliding windows of training and testing data. We find that simple models perform better because they are more resilient in volatile periods than more comprehensive models. We suggest that model performance could be improved by incorporating exogenous data, such as weather conditions. Powered by TCPDF (www.tcpdf.org)
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Management of selected risks in power - utility sector
 Horník, Tomáš ; Hnilica, Jiří (advisor) ; Dvořáček, Jiří (referee) ; Starý, Oldřich (referee) ; Oliva, Jaroslav (referee)
The thesis is focused on selected risks and theirs management in power sector. In introduction it is analysed power sector in the context of other energy commodities, hereafter it is analysed the approach to power price modelling. Furthermore are analysed the aspects of regulatory risk in Czech Republic. Finally it is evaluated the risk management system of a company in power- utility sector.
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