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Forecasting Spot Electricity Prices With Time Series Models

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  1. Loutfi, Ahmad Amine & Sun, Mengtao & Loutfi, Ijlal & Solibakke, Per Bjarte, 2022. "Empirical study of day-ahead electricity spot-price forecasting: Insights into a novel loss function for training neural networks," Applied Energy, Elsevier, vol. 319(C).
  2. Arciniegas, Alvaro I. & Arciniegas Rueda, Ismael E., 2008. "Forecasting short-term power prices in the Ontario Electricity Market (OEM) with a fuzzy logic based inference system," Utilities Policy, Elsevier, vol. 16(1), pages 39-48, March.
  3. Christian Huurman & Francesco Ravazzolo & Chen Zhou, 2008. "The power of weather. Some empirical evidence on predicting day-ahead power prices through weather forecasts," Working Paper 2008/08, Norges Bank.
  4. Weron, Rafal, 2008. "Market price of risk implied by Asian-style electricity options and futures," Energy Economics, Elsevier, vol. 30(3), pages 1098-1115, May.
  5. Rafal Weron & Adam Misiorek, 2006. "Short-term electricity price forecasting with time series models: A review and evaluation," HSC Research Reports HSC/06/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  6. Tschora, Léonard & Pierre, Erwan & Plantevit, Marc & Robardet, Céline, 2022. "Electricity price forecasting on the day-ahead market using machine learning," Applied Energy, Elsevier, vol. 313(C).
  7. Kosater, Peter, 2006. "On the impact of weather on German hourly power prices," Discussion Papers in Econometrics and Statistics 1/06, University of Cologne, Institute of Econometrics and Statistics.
  8. Karakatsani Nektaria V & Bunn Derek W., 2010. "Fundamental and Behavioural Drivers of Electricity Price Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-42, September.
  9. Léonard Tschora & Erwan Pierre & Marc Plantevit & Céline Robardet, 2022. "Electricity price forecasting on the day-ahead market using machine learning," Post-Print hal-03621974, HAL.
  10. Misiorek Adam & Trueck Stefan & Weron Rafal, 2006. "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(3), pages 1-36, September.
  11. Liu, Heping & Shi, Jing, 2013. "Applying ARMA–GARCH approaches to forecasting short-term electricity prices," Energy Economics, Elsevier, vol. 37(C), pages 152-166.
  12. Rafal Weron, 2006. "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0601.
  13. Paraschiv, Florentina & Fleten, Stein-Erik & Schürle, Michael, 2015. "A spot-forward model for electricity prices with regime shifts," Energy Economics, Elsevier, vol. 47(C), pages 142-153.
  14. S. Vijayalakshmi & G. P. Girish, 2015. "Artificial Neural Networks for Spot Electricity Price Forecasting: A Review," International Journal of Energy Economics and Policy, Econjournals, vol. 5(4), pages 1092-1097.
  15. Weron, Rafał, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," International Journal of Forecasting, Elsevier, vol. 30(4), pages 1030-1081.
  16. Halužan, Marko & Verbič, Miroslav & Zorić, Jelena, 2020. "Performance of alternative electricity price forecasting methods: Findings from the Greek and Hungarian power exchanges," Applied Energy, Elsevier, vol. 277(C).
  17. Shadi Tehrani & Jesús Juan & Eduardo Caro, 2022. "Electricity Spot Price Modeling and Forecasting in European Markets," Energies, MDPI, vol. 15(16), pages 1-23, August.
  18. Francisco Martínez-Álvarez & Alicia Troncoso & Gualberto Asencio-Cortés & José C. Riquelme, 2015. "A Survey on Data Mining Techniques Applied to Electricity-Related Time Series Forecasting," Energies, MDPI, vol. 8(11), pages 1-32, November.
  19. Caputo, Antonio C. & Federici, Alessandro & Pelagagge, Pacifico M. & Salini, Paolo, 2023. "Offshore wind power system economic evaluation framework under aleatory and epistemic uncertainty," Applied Energy, Elsevier, vol. 350(C).
  20. Brusaferri, Alessandro & Matteucci, Matteo & Portolani, Pietro & Vitali, Andrea, 2019. "Bayesian deep learning based method for probabilistic forecast of day-ahead electricity prices," Applied Energy, Elsevier, vol. 250(C), pages 1158-1175.
  21. Lars Ivar Hagfors & Hilde Hørthe Kamperud & Florentina Paraschiv & Marcel Prokopczuk & Alma Sator & Sjur Westgaard, 2016. "Prediction of extreme price occurrences in the German day-ahead electricity market," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1929-1948, December.
  22. Wagner, Andreas & Ramentol, Enislay & Schirra, Florian & Michaeli, Hendrik, 2022. "Short- and long-term forecasting of electricity prices using embedding of calendar information in neural networks," Journal of Commodity Markets, Elsevier, vol. 28(C).
  23. Ismail Shah & Francesco Lisi, 2020. "Forecasting of electricity price through a functional prediction of sale and purchase curves," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 242-259, March.
  24. Caner zdurak & Veysel Ulusoy, 2017. "Impact of Vertical Integration on Electricity Prices in TurkeyImpact of Vertical Integration on Electricity Prices in Turkey," International Journal of Energy Economics and Policy, Econjournals, vol. 7(3), pages 256-267.
  25. Halužan, Marko & Verbič, Miroslav & Zorić, Jelena, 2022. "An integrated model for electricity market coupling simulations: Evidence from the European power market crossroad," Utilities Policy, Elsevier, vol. 79(C).
  26. Christian Huurman & Francesco Ravazzolo & Chen Zhou, 2007. "The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts," Tinbergen Institute Discussion Papers 07-036/4, Tinbergen Institute.
  27. Jindřich Pokora, 2017. "Hybrid ARIMA and Support Vector Regression in Short-term Electricity Price Forecasting," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 65(2), pages 699-708.
  28. G P Girish & Aviral Kumar Tiwari, 2016. "A comparison of different univariate forecasting models forSpot Electricity Price in India," Economics Bulletin, AccessEcon, vol. 36(2), pages 1039-1057.
  29. Diankai Wang & Inna Gryshova & Mykola Kyzym & Tetiana Salashenko & Viktoriia Khaustova & Maryna Shcherbata, 2022. "Electricity Price Instability over Time: Time Series Analysis and Forecasting," Sustainability, MDPI, vol. 14(15), pages 1-24, July.
  30. Lo Prete, Chiara & Norman, Catherine S., 2013. "Rockets and feathers in power futures markets? Evidence from the second phase of the EU ETS," Energy Economics, Elsevier, vol. 36(C), pages 312-321.
  31. Lago, Jesus & De Ridder, Fjo & De Schutter, Bart, 2018. "Forecasting spot electricity prices: Deep learning approaches and empirical comparison of traditional algorithms," Applied Energy, Elsevier, vol. 221(C), pages 386-405.
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