Misiorek, Adam; Trueck, Stefan; Weron, Rafal - In: Studies in Nonlinear Dynamics & Econometrics 10 (2006) 3
In this paper we assess the short-term forecasting power of different time series models in the electricity spot market. In particular we calibrate AR/ARX (''X'' stands for exogenous/fundamental variable - system load in our study), AR/ARX-GARCH, TAR/TARX and Markov regime-switching models to...