Maciejowska, Katarzyna; Nowotarski, Jakub; Weron, Rafal - Hugo Steinhaus Center for Stochastic Methods, … - 2014
We examine possible accuracy gains from using factor models, quantile regression and forecast averaging for computing interval forecasts of electricity spot prices. We extend the Quantile Regression Averaging (QRA) approach of Nowotarski and Weron (2014) and use principal component analysis to...