Search results for "Autor"
showing 10 items of 820 documents
Temperature and seasonality influences on Spanish electricity load
2002
Abstract Deregulation of the Spanish electricity market in 1998 and the possible listing of electricity or weather derivative contracts have encouraged the study of the relationship between electricity demand and weather in Spain. In this paper, a transfer function intervention model is developed for forecasting daily electricity load from cooling and heating degree–days. The influence of weather and seasonality is proved, and is significant even when the autoregressive effects and the dynamic specification of the temperature are taken into account. The estimated general model shows a high predictive power. The results and information presented in this paper could be of interest for current…
No linealidad y asimetría en el proceso generador del Índice Ibex35
2013
This paper analyzes the behavior of Ibex35 from January 1999 to December 2001, in order to check if it follows a different process from random walk so its return is not a white noise and it can be predictable, against the efficient market hypothesis. For that, a nonlinear generating process of return will be considered and a STAR-APARCH model will be specified. This model allows a nonlinear behavior in the conditional mean and in the conditional variance. The empirical results show that the Ibex35 follows a nonlinear and asymmetric process, both in the conditional mean as in the conditional variance, so the weak-version of efficient market hypothesis is rejected. El trabajo analiza el compo…
The Influence of Oil Price on Renewable Energy Stock Prices: An Analysis for Entrepreneurs
2020
Abstract This study investigates the relationship between oil price fluctuations and renewable energy stock returns using daily data on Brent crude oil prices and global renewable energy stock market indices between 29 November 2010 and 18 February 2020. The investigation is based on the existing evidence on positive correlations between stock prices and oil prices, but it also considers the shift from non-renewable to renewable sources of energy. A two-stage GARCH(1,1) model and a Granger causality test were applied. Our results show that volatility clustering is present in the renewable energy companies‘ stock prices, but, oil price volatility does not seem to induce any significant effec…
On the property of diffusion in the spatial error model.
2005
International audience; The aim of this paper is to illustrate the property of global spillover effects in the first-order spatial autoregressive error model and the associated diffusion process of spatial shocks. An application is provided on a sample of 145 regions over 1989–1999 and highlights the most influential regions.
ESCAPE TIMES IN STOCK MARKETS
2005
We study the statistical properties of escape times for stock price returns in the Wall Street market. In particular we get the escape time distribution for real data from daily transactions and for three models: (i) the Wiener process with drift and a constant market volatility, (ii) Heston and (iii) GARCH models, where the volatility is a stochastic process. We find that the first model is unable to catch all the features of the escape time distribution of real data. Moreover, the Heston model describes the probability density function for both return and escape times better than the GARCH model.
Deregulated Electric Energy Price Forecasting in NordPool Market using Regression Techniques
2019
Deregulated electricity market day-ahead electrical energy price forecasting is important. It is influenced by external parameters and it is a complicated function. In this work two neighboring regions in the NordPool market are analyzed to provide day-ahead electrical price forecasting using regression techniques. The characteristics of the NordPool market trading behavior leads to unanticipated price peaks at daily, weekly and annual level. The considered two Nordic regions have different energy generation sources (e.g Norway has controllable hydro power, Denmark has non-controllable wind-power) therefore day-ahead electrical energy price forecasting in deregulated market for these two ne…
Spectral decomposition of cerebrovascular and cardiovascular interactions in patients prone to postural syncope and healthy controls.
2022
We present a framework for the linear parametric analysis of pairwise interactions in bivariate time series in the time and frequency domains, which allows the evaluation of total, causal and instantaneous interactions and connects time- and frequency-domain measures. The framework is applied to physiological time series to investigate the cerebrovascular regulation from the variability of mean cerebral blood flow velocity (CBFV) and mean arterial pressure (MAP), and the cardiovascular regulation from the variability of heart period (HP) and systolic arterial pressure (SAP). We analyze time series acquired at rest and during the early and late phase of head-up tilt in subjects developing or…
La evaluación del distanciamiento psicológico (detachment) en estudiantes universitarios: Validación del Cuestionario de Experiencia de Recuperación …
2017
The objective of this study was to adapt and validate the Recovery Experience Questionnaire for use in an educational context. So far, this measure of detachment has mainly been used with workers. The study aimed to verify the factor validity and the criterion-related validity through correlation with self-regulation, engagement, coping strategies, and big-five personality dimensions in a sample of 468 Spanish university students. Several models proposed in the literature have been tested through confirmatory factor analysis. The results obtained confirmed the presence of four factors: psychological detachment, relaxation, mastery and control, as observed in previous studies within a workpl…
NARX Models of an Industrial Power Plant Gas Turbine
2005
This brief reports the experience with the identification of a nonlinear autoregressive with exogenous inputs (NARX) model for the PGT10B1 power plant gas turbine manufactured by General Electric-Nuovo Pignone. Two operating conditions of the turbine are considered: isolated mode and nonisolated mode. The NARX model parameters are estimated iteratively with a Gram-Schmidt procedure, exploiting both forward and stepwise regression. Many indexes have been evaluated and compared in order to perform subset selection in the functional basis set and determine the structure of the nonlinear model. Various input signals (from narrow to broadband) for identification and validation have been consider…
Jutekliskās uztveres tematizācija Pētera Handkes stāstā „Senviktuāras kalna mācība”
2015
Bakalaura darbs ir veltīts tēmai „Jutekliskās uztveres tematizācija Pētera Handkes stāstā Senviktuāra kalna mācība”. Darba mērķis ir izmeklēt un aplūkot Pētera Handkes jutekliskās uztveres atspoguļojumu stāstā Senviktuāra kalna mācība. Darba uzdevums ir izpētīt rakstnieka Pētera Handkes personību un viņa slaveno tetraloģiju, it īpaši tetraloģijas otro daļu. Darbs ir sadalīts trijās nodaļās. Pirmajā nodaļā tiek apskatīts un visparēji raksturots jēdziens „mūsdienu literatūra”, kā arī tiek apskatīta tā laika politiskā un sabiedriskā situācija Vācijā un Austrijā. Papildus tiek apskatīta mūsdienu rakstnieku paaudze un Pēters Handke tiek prezentēts kā mūsdienu vācu rakstnieku paaudzes populārs pā…