Fouquau, Julien; Bessec, Marie; Méritet, Sophie - Université Paris-Dauphine (Paris IX) - 2014
this paper, we assess the forecasting ability of several classes of time series models for electricity wholesale spot … fundamentals: linear regressions, markov-switching models, threshold models with a smooth transition. Non-linear models designed to … independently also leads to better results. Finally, pooling forecasts gives more reliable results. Individual models are generally …