Maciejowska, Katarzyna; Weron, Rafal - Hugo Steinhaus Center for Stochastic Methods, … - 2015
In this paper we investigate whether considering the fine structure of half-hourly electricity prices, the market closing prices of fundamentals (natural gas, coal and CO2) and the system-wide demand can lead to significantly more accurate short- and mid-term forecasts of APX UK baseload prices....