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dc.creatorMonica A.A.A.spa
dc.creatorBotero S.B.spa
dc.creatorJaime H.H.B.spa
dc.date.accessioned2018-10-31T13:44:18Z
dc.date.available2018-10-31T13:44:18Z
dc.date.created2018
dc.identifier.isbn9789899843486
dc.identifier.issn21660727
dc.identifier.urihttp://hdl.handle.net/11407/4860
dc.descriptionA key element that must consider the electricity generators in their operation planning process is the electricity price forecasting. Thus, for this task it is fundamental to identify a forecasting tool. In this direction, this paper presents forecast models for the price of electricity in the Colombian market. The different models are based in different schemes such as: autoregressive mobile media, generalized processes of conditional autoregressive heteroscedasticity (ARMA-GARCH), seasonal autoregressive models with mobile average and exogenous regressors (SARIMAX-GARCH). Likewise, using the theory of markets efficiency hypothesis the results show the presence of monthly calendar effects and the presence of nonlinear and asymmetric volatility which changes over time together with an inverse leverage effect. © 2018 AISTI.spa
dc.language.isospa
dc.publisherIEEE Computer Societyspa
dc.relation.isversionofhttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85049904209&doi=10.23919%2fCISTI.2018.8398640&partnerID=40&md5=0471dfa9e306cb7ac14511098248de5cspa
dc.sourceScopusspa
dc.subjectEfficiency hypothesisspa
dc.subjectElectricity marketsspa
dc.subjectMarket anomaliesspa
dc.subjectSARIMA-GARCHspa
dc.subjectSeasonalityspa
dc.subjectCommercespa
dc.subjectCostsspa
dc.subjectEfficiencyspa
dc.subjectFinancial data processingspa
dc.subjectForecastingspa
dc.subjectInformation systemsspa
dc.subjectInformation usespa
dc.subjectAsymmetric volatilityspa
dc.subjectConditional autoregressivespa
dc.subjectElectricity generatorsspa
dc.subjectElectricity price forecastingspa
dc.subjectEmpirical analysisspa
dc.subjectSARIMA-GARCHspa
dc.subjectSeasonal autoregressive modelsspa
dc.subjectSeasonalityspa
dc.subjectPower marketsspa
dc.titleFinancial anomalies in the electricity market: Empirical analysis of spot prices [Anomalías Financieras en el Mercado de Electricidad: Análisis empririco de los precios spot]spa
dc.typeConference Papereng
dc.rights.accessrightsinfo:eu-repo/semantics/restrictedAccess
dc.publisher.programIngeniería Financiera;Ciencias Básicasspa
dc.contributor.affiliationMonica, A.A.A., Universidad de Medellín; Universidad Nacional de Colombia;Botero, S.B., Universidad Nacional de Colombia;Jaime, H.H.B., Universidad de Medellínspa
dc.identifier.doi10.23919/CISTI.2018.8398640
dc.relation.citationvolume2018-June
dc.relation.citationstartpage1
dc.relation.citationendpage7
dc.publisher.facultyFacultad de Ingenierías;Facultad de Ciencias Básicasspa
dc.relation.ispartofesIberian Conference on Information Systems and Technologies, CISTIspa
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dc.type.driverinfo:eu-repo/semantics/conferenceObject


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