Probabilistic electricity price forecasting with Bayesian stochastic volatility models
Year of publication: |
2019
|
---|---|
Authors: | Kostrzewski, Maciej ; Kostrzewska, Jadwiga |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 80.2019, p. 610-620
|
Subject: | Electricity prices | Jumps | Prediction intervals | Stochastic volatility process | Strompreis | Electricity price | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Prognoseverfahren | Forecasting model | Theorie | Theory | Bayes-Statistik | Bayesian inference | Zeitreihenanalyse | Time series analysis |
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