Title: Pellets price analysis by means of cointegration
Other Titles: Kointegrationsanalyse von Pellets-Preisen
Language: English
Authors: Hruby, Jakob 
Qualification level: Diploma
Advisor: Scherrer, Wolfgang 
Issue Date: 2015
Number of Pages: 88
Qualification level: Diploma
This thesis tries to find long run steady-state relations between wood pellets prices and other market relevant time series for the heating sector. Thirteen years of data are examined and processed for further use in vector autoregressive models. Basic theoretical results and advanced econometrical methods such as Johansen-s cointegration test and the varimax transformation by Kaiser are presented and applied to develop various models to describe and investigate the data. These models are compared to each other and eventually used to perform forecasts that are being discussed. The computations are performed by the statistical programming language R with a mix of precast packages and self-developed routines.
Keywords: Kointegration; Energie Preise
cointegration; energy prices
URI: https://resolver.obvsg.at/urn:nbn:at:at-ubtuw:1-87806
Library ID: AC12709459
Organisation: E105 - Institut für Stochastik und Wirtschaftsmathematik 
Publication Type: Thesis
Appears in Collections:Thesis

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