, shrinkage and forecast combinations. …The daily average price of electricity represents the price of electricity to be delivered over the full next day and … serves as a key reference price in the electricity market. It is an aggregate that equals the average of hourly prices for …

In this paper we investigate whether considering the fine structure of half-hourly electricity prices, the market … multivariate time series models over a three-year out-of-sample forecasting period and compare it against that of a benchmark …

We show that incorporating the intra-day and inter-zone relationships of electricity prices in the Pennsylvania … a major PJM market hub -- the Dominion Hub in Virginia, U.S. The forecasting performance of four multivariate models … setup. The results indicate that there are forecast improvements from incorporating the additional information, essentially …

We show that incorporating the intra-day relationships of electricity prices improves the accuracy of forecasts of … daily electricity spot prices. We use half-hourly data from the UK power market to model the spot prices directly (via ARX … and Vector ARX models) and indirectly (via factor models). The forecasting performance of five econometric models is …

forecasting performance of econometric models incorporating asymmetric price transmission from crude oil to gasoline. In this …, while the ECM implies symmetric price transmission from crude oil to gasoline. We quantify the forecast accuracy gains due … sign and probability forecasts. Finally, we highlight that the forecasting performance of the estimated models is time-varying. …

provided at the worldwide level and for eight geographical zones until 2025. Total air traffic flows are first forecast using a …

predictive value with respect to forecasting the occurrence of electricity price spikes. We focus on information that measures …