In this paper we address the issue of modeling spot electricity prices. After summarizing the stylized facts about spot electricity prices, we review a number of models proposed in the literature. Afterwards we fit a jump diffusion and a regime switching model to spot prices from the Nordic...

This empirical paper is a continuation of our earlier work on time series forecasting of day-ahead electricity prices. Given the controversy in the literature whether to use one large model across all hours or 24 separate models, we study if the model structure (and not only the coefficients)...

We investigate the forecasting power of different time series models for electricity spot prices. The models include different specifications of linear autoregressive time series with heteroscedastic noise and/or additional fundamental variables and non-linear regime-switching TAR-type models....

In this paper we address the issue of modeling and forecasting electricity loads. We apply a two-step procedure to a series of system-wide loads from the California power market. First, we remove the weekly and annual seasonalities. Then, after analyzing properties of the deseasonalized data we...

We examine possible accuracy gains from using factor models, quantile regression and forecast averaging for computing interval forecasts of electricity spot prices. We extend the Quantile Regression Averaging (QRA) approach of Nowotarski and Weron (2014) and use principal component analysis to...

Probabilistic load forecasting is becoming crucial in today's power systems planning and operations. We propose a novel methodology to compute interval forecasts of electricity demand, which applies a Quantile Regression Averaging (QRA) technique to a set of independent expert point forecasts....

We evaluate a recently proposed method for constructing prediction intervals, which utilizes the concept of quantile regression (QR) and a pool of point forecasts of different time series models.We find that in terms of interval forecasting of Nord Pool day-ahead prices the new QR-based approach...

We examine the impact of explanatory variables such as load, weather and capacity constraints on the occurrence and magnitude of price spikes in regional Australian electricity markets. We apply the so-called Heckman correction, a two-stage estimation procedure that allows us to investigate the...

We show that incorporating the intra-day relationships of electricity prices improves the accuracy of forecasts of daily electricity spot prices. We use half-hourly data from the UK power market to model the spot prices directly (via ARX and Vector ARX models) and indirectly (via factor models)....

We show that incorporating the intra-day and inter-zone relationships of electricity prices in the Pennsylvania--New Jersey--Maryland (PJM) Interconnection improves the accuracy of short- and medium-term forecasts of average daily prices for a major PJM market hub -- the Dominion Hub in...