Karakatsani, Nektaria V.; Bunn, Derek W. - In: International Journal of Forecasting 24 (2008) 4, pp. 764-785
This paper investigates the day-ahead forecasting performance of fundamental price models for electricity spot prices, intended to capture: (i) the impacts of economic, technical, strategic and risk factors on intra-day prices; and (ii) the dynamics of these effects over time. A time-varying...