Showing 1 - 5 of 5
A variety of methods and ideas have been tried for electricity price forecasting (EPF) over the last 15 years, with varying degrees of success. This review article aims at explaining the complexity of available solutions, their strengths and weaknesses, and the opportunities and treats that the...
Persistent link: https://www.econbiz.de/10010933624
A variety of methods and ideas have been tried for electricity price forecasting (EPF), with varying degrees of success. This review article aims at explaining the complexity of available solutions, their strengths and weaknesses, and the opportunities and treats that the forecasting tools offer...
Persistent link: https://www.econbiz.de/10010933625
We present the results of an extensive study on modeling and forecasting of the long-term seasonal component (LTSC) of electricity spot prices. We consider a vast array of models including linear regressions, monthly dummies, sinusoidal decompositions and wavelet smoothers. We find that in terms...
Persistent link: https://www.econbiz.de/10010659621
In this paper we address the issue of modeling spot electricity prices. After summarizing the stylized facts about spot electricity prices, we review a number of models proposed in the literature. Afterwards we fit a jump diffusion and a regime switching model to spot prices from the Nordic...
Persistent link: https://www.econbiz.de/10009003610
In the first years after the emergence of deregulated power markets it became apparent that for the valuation of electricity derivatives we cannot simply rely on models developed for financial or other commodity markets. However, before adequate models can be put forward the unique...
Persistent link: https://www.econbiz.de/10009003614