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...

In this paper we present an extensive comparison of four different classes of models for daily forecasting of spot electricity prices, including ARMAX, constant and time-varying parameter regression models as well as non linear Markov regime-switching regressions. They are selected for...