| Srl | Item |
| 1 |
ID:
105788
|
|
|
|
|
| Publication |
2011.
|
| Summary/Abstract |
In South Africa, the electricity mismatch of supply and demand has been of major concern. Additional to past problems, the 2008 electricity crisis made the solution crucial after its damaging consequences to the economy. The disagreement on the need and consequences of the continuous electricity price hikes worsens the situation.
To contribute to the recent electricity debate, this paper proposes a time-varying price elasticity of demand for electricity; the sensitivity of electricity consumption to price fluctuations changes throughout the years. The main purpose of this study is the estimation of the price elasticity of electricity in South Africa during the period 1980-2005 by employing an advanced econometric technique, the Kalman filter.
Apart from the decreasing effect of electricity prices to consumption (-71.8% in the 1990s and -94.5% in the 2000s in average), our results conclude to an important finding: the higher the prices (for example in the 1980s) the higher the sensitivity of consumers to price fluctuations.
Thus, further increases of the electricity prices may lead to changes in the behaviour of electricity consumers, focusing their efforts on improving their efficiency levels by introducing demand-side management techniques or even turning to other sources of - cheaper - energy.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2 |
ID:
098606
|
|
|
|
|
| Publication |
2010.
|
| Summary/Abstract |
In this paper we propose a three-factor spike model that accounts for different speeds of mean reversion between normal and spiky shocks in the Scandinavian power market. In this model both short and long-run factors are unobservable and are hence estimated as latent variables using the Kalman filter. The proposed model has several advantages. First, it seems to capture in a parsimonious way the most important risks that practitioners face in the market, such as spike risk, short-term risk and long-term risk. Second, it explains the seasonal risk premium observed in the market and improves the fit between theoretical and observed forward prices, particularly for long-dated forward contracts. Finally, closed-form solutions for forward contracts, derived from the model, are consistent with the fact that the correlation between contracts of different maturities is imperfect. The resulting model is very promising, providing a very useful policy analysis and financial engineering tool to market participants for risk management and derivative pricing particularly for long-dated contracts.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 3 |
ID:
149009
|
|
|
|
|
| Summary/Abstract |
Modern control law designs increasingly use aircraft attitude information to improve aircraft manoeuverability. Attitude information allows for gravity term compensations in the longitudinal as well as lateral directional control laws of a typical fighter aircraft. Methodologies and comparisons of multiplicative error state Kalman filter (MEKF) and nonlinear complimentary filter for estimation of attitudes of a high performance aircraft using its onboard autonomous sensors is presented. Shows a problem in pitch angle estimation beyond ± 80 deg in the MEKF and a solution is proposed for the same for the first time. Also presents novel aiding sensor modelling for the implementation of attitude heading reference system for this class of aircraft for the first time. The filter formulations are evaluated using full range manuoevering real flight test data.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 4 |
ID:
097335
|
|
|
|
|
| Publication |
2010.
|
| Summary/Abstract |
This paper uses a time-varying parameter model with generalized autoregressive conditional heteroscedasticity effects to examine the dynamic behavior of crude-oil prices for the period February 7, 1997-January 8, 2010. Using data from four countries of the Gulf Cooperation Council, we find evidence of short-term predictability in oil-price changes over time, except for several short sub-periods. However, the hypothesis of convergence towards weak-form informational efficiency is rejected for all markets. In addition, we explore the possibility of structural breaks in the time-paths of the estimated predictability indices and detect only one breakpoint, for the oil markets in Qatar and the United Arab Emirates. Our empirical results therefore call for new empirical research to further gauge the predictability characteristics and the determinants of oil-price changes.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|