%0 Journal Article
	%A Robest Flasza and  Milan Rippel and  Jan Solc
	%D 2011
	%J International Journal of Economics and Management Engineering
	%B World Academy of Science, Engineering and Technology
	%I Open Science Index 54, 2011
	%T Modeling Prices of Electricity Futures at EEX
	%U https://publications.waset.org/pdf/8278
	%V 54
	%X The main aim of this paper is to develop and calibrate
an econometric model for modeling prices of long term electricity
futures contracts. The calibration of our model is performed on data
from EEX AG allowing us to capture the specific features of German
electricity market. The data sample contains several structural breaks
which have to be taken into account for modeling. We model the data
with an ARIMAX model which reveals high correlation between the
price of electricity futures contracts and prices of LT futures
contracts of fuels (namely coal, natural gas and crude oil). Besides
this, also a share price index of representative electricity companies
traded on Xetra, spread between 10Y and 1Y German bonds and
exchange rate between EUR and USD appeared to have significant
explanatory power over these futures contracts on EEX.
	%P 1103 - 1107