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Forecasting Electricity Demand Using Generalized Long Memory

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  • Soares, Lacir Jorge
  • Souza, Leonardo Rocha

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Bibliographic Info

Paper provided by FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) in its series Economics Working Papers (Ensaios Economicos da EPGE) with number 486.

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Date of creation: 29 Jun 2003
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Handle: RePEc:fgv:epgewp:486

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References

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  1. Laurent Ferrara & Dominique Guegan, 1999. "Estimation and Applications of Gegenbauer Processes," Working Papers, Centre de Recherche en Economie et Statistique 99-27, Centre de Recherche en Economie et Statistique.
  2. Lacir J. Soares & Marcelo Cunha Medeiros, 2005. "Modelling and forecasting short-term electricity load: a two step methodology," Textos para discussão, Department of Economics PUC-Rio (Brazil) 495, Department of Economics PUC-Rio (Brazil).
  3. L. A. Gil-Alana & P. M. Robinson, 2001. "Testing of seasonal fractional integration in UK and Japanese consumption and income," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 16(2), pages 95-114.
  4. Ferrara, Laurent & Guegan, Dominique, 2001. "Forecasting with k-Factor Gegenbauer Processes: Theory and Applications," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 20(8), pages 581-601, December.
  5. Darbellay, Georges A. & Slama, Marek, 2000. "Forecasting the short-term demand for electricity: Do neural networks stand a better chance?," International Journal of Forecasting, Elsevier, Elsevier, vol. 16(1), pages 71-83.
  6. Josu Arteche & Peter M. Robinson, 1998. "Seasonal and cyclical long memory," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 2241, London School of Economics and Political Science, LSE Library.
  7. Armstrong, J. Scott & Collopy, Fred, 1992. "Error measures for generalizing about forecasting methods: Empirical comparisons," International Journal of Forecasting, Elsevier, Elsevier, vol. 8(1), pages 69-80, June.
  8. L. A. Gil-Alaña & Peter M. Robinson, 2001. "Testing of seasonal fractional integration in UK and Japanese consumption and income," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 298, London School of Economics and Political Science, LSE Library.
  9. Gil-Alana, Luis A., 2002. "Seasonal long memory in the aggregate output," Economics Letters, Elsevier, Elsevier, vol. 74(3), pages 333-337, February.
  10. Ramanathan, Ramu & Engle, Robert & Granger, Clive W. J. & Vahid-Araghi, Farshid & Brace, Casey, 1997. "Shorte-run forecasts of electricity loads and peaks," International Journal of Forecasting, Elsevier, Elsevier, vol. 13(2), pages 161-174, June.
  11. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, Elsevier, vol. 73(1), pages 5-59, July.
  12. repec:fth:inseep:9927 is not listed on IDEAS
  13. Chung, Ching-Fan, 1996. "Estimating a generalized long memory process," Journal of Econometrics, Elsevier, Elsevier, vol. 73(1), pages 237-259, July.
  14. Ray, Bonnie K., 1993. "Long-range forecasting of IBM product revenues using a seasonal fractionally differenced ARMA model," International Journal of Forecasting, Elsevier, Elsevier, vol. 9(2), pages 255-269, August.
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Citations

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Cited by:
  1. Erdal Atukeren & Yngve Abrahamsen, 2012. "Der schweizerische Aussenhandel mit elektrischer Energie," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, KOF Swiss Economic Institute, ETH Zurich, vol. 6(4), pages 57-70, December.
  2. Chan, Kam Fong & Gray, Philip & van Campen, Bart, 2008. "A new approach to characterizing and forecasting electricity price volatility," International Journal of Forecasting, Elsevier, Elsevier, vol. 24(4), pages 728-743.
  3. repec:hal:journl:halshs-00259225 is not listed on IDEAS
  4. Artiach, Miguel & Arteche, Josu, 2012. "Doubly fractional models for dynamic heteroscedastic cycles," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(6), pages 2139-2158.
  5. Alex Gonzaga & Michael Hauser, 2011. "A wavelet Whittle estimator of generalized long-memory stochastic volatility," Statistical Methods and Applications, Springer, Springer, vol. 20(1), pages 23-48, March.
  6. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2012. "Persistence and Cycles in the US Federal Funds Rate," Discussion Papers of DIW Berlin 1255, DIW Berlin, German Institute for Economic Research.
  7. Jaume Rosselló Nadal & Mohcine Bakhat, 2009. "A new approach to estimating tourism-induced electricity consumption," CRE Working Papers (Documents de treball del CRE), Centre de Recerca Econòmica (UIB ·"Sa Nostra") 2009/6, Centre de Recerca Econòmica (UIB ·"Sa Nostra").
  8. Guglielmo Maria Caporale & Juncal Cuñado & Luis A. Gil-Alana, 2013. "Modelling long-run trends and cycles in financial time series data," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 405-421, 05.
  9. Cruz E. Borges & Yoseba K. Penya & Iván Fernández & Juan Prieto & Oscar Bretos, 2013. "Assessing Tolerance-Based Robust Short-Term Load Forecasting in Buildings," Energies, MDPI, Open Access Journal, vol. 6(4), pages 2110-2129, April.
  10. V. Dordonnat & S.J. Koopman & M. Ooms & A. Dessertaine & J. Collet, 2008. "An Hourly Periodic State Space Model for Modelling French National Electricity Load," Tinbergen Institute Discussion Papers 08-008/4, Tinbergen Institute.
  11. V. Dordonnat & S.J. Koopman & M. Ooms & A. Dessertaine & J. Collet, 2008. "An Hourly Periodic State Space Model for Modelling French National Electricity Load," Tinbergen Institute Discussion Papers 08-008/4, Tinbergen Institute.
  12. Sigauke, C. & Chikobvu, D., 2011. "Prediction of daily peak electricity demand in South Africa using volatility forecasting models," Energy Economics, Elsevier, Elsevier, vol. 33(5), pages 882-888, September.
  13. Souza, Leonardo Rocha & Soares, Lacir Jorge, 2003. "Forecasting Electricity Load Demand: Analysis of the 2001 Rationing Period in Brazil," Economics Working Papers (Ensaios Economicos da EPGE) 491, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  14. Rubin, Ofir D. & Babcock, Bruce A., 2011. "A novel approach for modeling deregulated electricity markets," Energy Policy, Elsevier, Elsevier, vol. 39(5), pages 2711-2721, May.
  15. Amaral, Luiz Felipe & Souza, Reinaldo Castro & Stevenson, Maxwell, 2008. "A smooth transition periodic autoregressive (STPAR) model for short-term load forecasting," International Journal of Forecasting, Elsevier, Elsevier, vol. 24(4), pages 603-615.
  16. Rocha Souza, Leonardo & Jorge Soares, Lacir, 2007. "Electricity rationing and public response," Energy Economics, Elsevier, Elsevier, vol. 29(2), pages 296-311, March.
  17. Soares, Lacir J. & Medeiros, Marcelo C., 2008. "Modeling and forecasting short-term electricity load: A comparison of methods with an application to Brazilian data," International Journal of Forecasting, Elsevier, Elsevier, vol. 24(4), pages 630-644.
  18. Cancelo, José Ramón & Espasa, Antoni & Grafe, Rosmarie, 2008. "Forecasting the electricity load from one day to one week ahead for the Spanish system operator," International Journal of Forecasting, Elsevier, Elsevier, vol. 24(4), pages 588-602.
  19. Jose Ramon Cancelo & Antoni Espasa & Rosemarie Grafe, 2007. "Forecasting from one day to one week ahead for the Spanish system operator," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws078418, Universidad Carlos III, Departamento de Estadística y Econometría.

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