Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

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Jumps and their significance in analysis and forecasting prices on selected commodity markets. Methods for risk management

2016/23/B/HS4/03018

Keywords:

commodity markets jumps spikes jump clustering jump-diffusion processes stochastic volatility Bayesian inference MCMC nonparametric approach time series forecasting risk management

Descriptors:

  • HS4_3: Econometrics, statistical methods

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Uniwersytet Ekonomiczny w Krakowie, Kolegium Ekonomii, Finansów i Prawa

woj. małopolskie

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr hab. Maciej Kostrzewski 

Number of co-investigators in the project: 2

Call: OPUS 12 - announced on 2016-09-15

Amount awarded: 194 105 PLN

Project start date (Y-m-d): 2017-08-03

Project end date (Y-m-d): 2021-02-02

Project duration:: 42 months (the same as in the proposal)

Project status: Project settled

Project description

Download the project description in a pdf file

Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Equipment purchased [PL]

  1. Oprogramowanie: Mathematica (1 licencja) (7 500 PLN)
  2. Komputer przenośny (2 szt.) (24 000 PLN)
  3. Komputer przenośny (konferencyjny).
  4. Oprogramowanie: Matlab z dodatkami (Parallel, Statistics, Optimization, Global optimization, Econometrics) (1 licencja) (10 000 PLN)
  5. Scientific WorkPlace v.6.0.

Information in the final report

  • Publication in academic press/journals (3)
  • Articles in post-conference publications (2)
  1. The Impact of Forecasting Jumps on Forecasting Electricity Prices
    Authors:
    Maciej Kostrzewski, Jadwiga Kostrzewska
    Academic press:
    Energies (rok: 2021, tom: 14, 336, strony: 45308), Wydawca: MDPI, Basel, Switzerland
    Status:
    Published
    DOI:
    10.3390/en14020336 - link to the publication
  2. The Bayesian Methods of Jump Detection: The Example of Gas and EUA Contract Prices.
    Authors:
    Maciej Kostrzewski
    Academic press:
    Central European Journal of Economic Modelling and Econometrics (rok: 2019, tom: no 2, strony: 107-131), Wydawca: Oddział PAN w Łodzi
    Status:
    Published
    DOI:
    10.24425/cejeme.2019.129774 - link to the publication
  3. Probabilistic electricity price forecasting with Bayesian stochastic volatility models
    Authors:
    Maciej Kostrzewski, Jadwiga Kostrzewska
    Academic press:
    Energy Economics (rok: 2019, tom: 80, strony: 610-620), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2019.02.004 - link to the publication
  1. The logistic regression in predicting spike occurrences in electricity prices
    Authors:
    Jadwiga Kostrzewska, Maciej Kostrzewski
    Conference:
    The 12th Professor Aleksander Zelias International Conference on Modelling and Forecasting of Socio-Economic Phenomena (rok: 2018, ), Wydawca: Foundation of the Cracow University of Economics
    Data:
    konferencja 8-11 maja 2018
    Status:
    Published
  2. Forecasting upward and downward jumps in Nord Pool electricity prices by means of the generalised ordered logistic regression
    Authors:
    Jadwiga Kostrzewska, Maciej Kostrzewski
    Conference:
    The 14th Professor Aleksander Zeliaś International Conference on Modelling and Forecasting of Socio-Economic Phenomena (rok: 2020, ), Wydawca: Wydawnictwo Małopolskiej Szkoły Administracji Publicznej Uniwersytetu Ekonomicznego w Krakowie
    Data:
    konferencja 11-14 maja 2020 (przeniesiona na 10-13 maja 2021 ze względu na warunki epidemiczne)
    Status:
    Published

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