Forecasting hourly electricity prices and their characteristic properties is a core challenge for energy generation companies and trading houses. The short-term marketing and purchase of electricity is usually managed with standardized products traded on different markets and with specific...

Short-term electricity price forecasting has received considerable attention in recent years. Despite this increased interest, the literature lacks a concrete consensus on the most suitable forecasting approach. We conduct an extensive empirical analysis to evaluate the short-term price...

This paper aims to study the forecasting capabilities of several models under the Markov regime-switching (MRS) and the extreme value theory (EVT) frameworks applied to daily electricity prices in the New Zealand electricity market. The MRS models in this study include up to five regimes, with...