In this paper a robust approach to modelling electricity spot prices is introduced. Differently from what has been recently done in the literature on electricity price forecasting, where the attention has been mainly drawn by the prediction of spikes, the focus of this contribution is on the...

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...

We modelled electricity prices by fractionally integrated processes finding significant relations between zonal spot prices and exogenous variables. Day-ahead forecasts have been computed thanks to forecasted volumes and a scenario analysis