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Revista Ingenierías Universidad de Medellín
versão impressa ISSN 1692-3324versão On-line ISSN 2248-4094
Resumo
GIL ZAPATA, Martha María e MAYA OCHOA, Cecilia. Volatility modeling of electric power prices in Colombia. Rev. ing. univ. Medellin [online]. 2008, vol.7, n.12, pp.87-114. ISSN 1692-3324.
This article analyzes an appropriate procedure to model electric power price and its volatility with the purpose of making some contributions to the development of cash market and its by-products, underlying in Colombia, in terms of its valuation, of a more precise calculation of system operation margins and an appropriate management of associated risk.
Palavras-chave : Electric powers price modelling; time series modelling; volatility; energy market; GARCH energy models.