In this paper we assess the short-term forecasting power of different time series models in the electricity spot market. We calibrate autoregression (AR) models, including specifications with a fundamental (exogenous) variable - system load, to California Power Exchange (CalPX) system spot...

Retail electricity rates have been kept flat for the past century due to the lack of advanced metering technology and infrastructure. The flat-rate structure prevents consumers from responding to the fluctuation of actual costs of electricity generation, which varies hourly (or even...

In this article the author examines, based on the inflation rate and unemployment rate registered in Romania during 1993-2004, how to show Okun's Law. Results consist of two distinct models explaining the dependency between the GDP’s growth rate of and the unemployment rate’s growth and vice...

We calibrate Markov regime-switching (MRS) models to mean daily spot prices from the EEX market. Our empirical study shows that (i) models with shifted spike regime distributions lead to more realistic models of electricity spot prices and that (ii) introducing heteroskedasticity in the base...

This paper proposes a measure of real-time inflation expectations based on metadata, i.e., data about data, constructed from internet search queries performed on the search engine Google. The forecasting performance of the Google Inflation Search Index (GISI) is assessed relative to 37 other...

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the...

This aim of this study is to estimate the price of coffee and cocoa using a methodology based on Hodrick-Prescott filter, Kalman filter and a Markov Switching Model which, unlike linear models, allows the parameters to vary depending on the economic situation, the transitions between regimes are...

The paper compares one-period ahead forecasting performance of linear vector-autoregressive (VAR) models and single-equation Markov-switching (MS) models for two cases: when leading information is available and when it is not. The results show that single-equation MS models tend to perform...

This paper studies the sequential sampling scheme as a solution to the problem of aliasing, where the sampling interval is restricted to a minimum allowable value. Sequential sampling is analyzed and it is proved that when the sampling ratio is an integral number, the associated spectral...