Purpose: In short-term forecasting of day-ahead electricity prices, incorporating intraday dependencies is vital for accurate predictions. However, it quickly leads to dimensionality problems, i.e. ill-defined models with too many parameters, which require an adequate remedy. This study...

Purpose: Study conditions of empirical publications on time series modeling and forecasting of electricity prices vary widely, making it difficult to generalize results. The key purpose of the present study is to offer a comparison of different model types and modeling conditions regarding...