This paper considers how well the approach of combining forecasts extends to the context of electricity prices. With the increasing popularity of regime switching and time-varying parameter models for predicting power prices, the multi model and evolutionary considerations that usually support...

Electricity price time series usually exhibit some form of nonstationarity, corresponding to long-term behavior, one or more periodic components as well as dependence on calendar effects. As a result, modeling electricity prices requires accounting for both long-term and periodic components. In...

This paper studies the impact of a fire in 2006 which removed the possibility of access to the Rough gas storage facilities covering over 80% of total UK storage, at a time when major withdrawals from storage would have likely taken place. Implicitly, it shows the value of such gas storage...

The German response to the Fukushima nuclear power plant incident was possibly the most significant change of policy towards nuclear power outside Japan, leading to a sudden and very significant shift in the underlying power generation structure in Germany. This provides a very useful natural...

In this paper we suggest an extension of the forward search methodology to GARCH models which are often used for forecasting stock market volatility. It is frequently found that estimated residuals from GARCH models have excess kurtosis, even when one allows for conditional t-distributed errors....

The German response to the Fukushima nuclear power plant incident was possibly the most significant change of policy towards nuclear power outside Japan, leading to a sudden and very significant shift in the underlying power generation structure in Germany. This provides a very useful natural...