IDEAS home Printed from https://ideas.repec.org/r/wuu/hsbook/hsbook0601.html
   My bibliography  Save this item

Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Maryniak, Paweł & Trück, Stefan & Weron, Rafał, 2019. "Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill," Energy Economics, Elsevier, vol. 79(C), pages 45-58.
  2. Özen, Kadir & Yıldırım, Dilem, 2021. "Application of bagging in day-ahead electricity price forecasting and factor augmentation," Energy Economics, Elsevier, vol. 103(C).
  3. Lavička, Hynek & Kracík, Jiří, 2020. "Fluctuation analysis of electric power loads in Europe: Correlation multifractality vs. Distribution function multifractality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  4. Angelica Gianfreda, 2010. "Volatility and Volume Effects in European Electricity Spot Markets," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 39(1‐2), pages 47-63, February.
  5. Bastian Felix & Oliver Woll & Christoph Weber, 2013. "Gas storage valuation under limited market liquidity: an application in Germany," The European Journal of Finance, Taylor & Francis Journals, vol. 19(7-8), pages 715-733, September.
  6. repec:dui:wpaper:1502 is not listed on IDEAS
  7. Joanna Janczura & Rafal Weron, 2012. "Inference for Markov-regime switching models of electricity spot prices," HSC Research Reports HSC/12/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  8. Stephen Machin & Olivier Marie & Sunčica Vujić, 2012. "Youth Crime and Education Expansion," German Economic Review, Verein für Socialpolitik, vol. 13(4), pages 366-384, November.
  9. Niematallah Elamin & Mototsugu Fukushige, 2016. "A Quantile Regression Model for Electricity Peak Demand Forecasting: An Approach to Avoiding Power Blackouts," Discussion Papers in Economics and Business 16-22, Osaka University, Graduate School of Economics.
  10. Woo, C.K. & Liu, Y. & Zarnikau, J. & Shiu, A. & Luo, X. & Kahrl, F., 2018. "Price elasticities of retail energy demands in the United States: New evidence from a panel of monthly data for 2001–2016," Applied Energy, Elsevier, vol. 222(C), pages 460-474.
  11. Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2023. "Large Time‐Varying Volatility Models for Hourly Electricity Prices," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 545-573, June.
  12. Lisi, Francesco & Pelagatti, Matteo M., 2018. "Component estimation for electricity market data: Deterministic or stochastic?," Energy Economics, Elsevier, vol. 74(C), pages 13-37.
  13. Nowotarski, Jakub & Weron, Rafał, 2018. "Recent advances in electricity price forecasting: A review of probabilistic forecasting," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 1548-1568.
  14. Mari, Carlo & Cananà, Lucianna, 2012. "Markov switching of the electricity supply curve and power prices dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1481-1488.
  15. Janusz Sowinski, 2021. "The Impact of the Selection of Exogenous Variables in the ANFIS Model on the Results of the Daily Load Forecast in the Power Company," Energies, MDPI, vol. 14(2), pages 1-18, January.
  16. Keles, Dogan & Genoese, Massimo & Möst, Dominik & Fichtner, Wolf, 2012. "Comparison of extended mean-reversion and time series models for electricity spot price simulation considering negative prices," Energy Economics, Elsevier, vol. 34(4), pages 1012-1032.
  17. Tegnér, Martin & Ernstsen, Rune Ramsdal & Skajaa, Anders & Poulsen, Rolf, 2017. "Risk-minimisation in electricity markets: Fixed price, unknown consumption," Energy Economics, Elsevier, vol. 68(C), pages 423-439.
  18. Joanna Janczura & Aleksander Weron, 2008. "Modelling energy forward prices," HSC Research Reports HSC/08/03, Hugo Steinhaus Center, Wroclaw University of Technology.
  19. Herrera, Rodrigo & González, Nicolás, 2014. "The modeling and forecasting of extreme events in electricity spot markets," International Journal of Forecasting, Elsevier, vol. 30(3), pages 477-490.
  20. 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.
  21. Gudkov, Nikolay & Ignatieva, Katja, 2021. "Electricity price modelling with stochastic volatility and jumps: An empirical investigation," Energy Economics, Elsevier, vol. 98(C).
  22. María Del Carmen Ruiz-Abellón & Antonio Gabaldón & Antonio Guillamón, 2016. "Dependency-Aware Clustering of Time Series and Its Application on Energy Markets," Energies, MDPI, vol. 9(10), pages 1-22, October.
  23. Gianfreda, Angelica & Grossi, Luigi, 2012. "Forecasting Italian electricity zonal prices with exogenous variables," Energy Economics, Elsevier, vol. 34(6), pages 2228-2239.
  24. Franki, Vladimir & Višković, Alfredo, 2015. "Energy security, policy and technology in South East Europe: Presenting and applying an energy security index to Croatia," Energy, Elsevier, vol. 90(P1), pages 494-507.
  25. Michael Kostmann & Wolfgang K. Härdle, 2019. "Forecasting in Blockchain-Based Local Energy Markets," Energies, MDPI, vol. 12(14), pages 1-27, July.
  26. Rafał Weron, 2009. "Heavy-tails and regime-switching in electricity prices," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 457-473, July.
  27. Katarzyna Maciejowska & Rafal Weron, 2013. "Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market," HSC Research Reports HSC/13/01, Hugo Steinhaus Center, Wroclaw University of Technology, revised 15 Apr 2013.
  28. Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2015. "Electricity derivatives pricing with forward-looking information," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 34-57.
  29. Hajar Nasrazadani & Maria Pilar Mu oz Gracia, 2017. "Comparing Iranian and Spanish Electricity Markets with Nonlinear Time Series," International Journal of Energy Economics and Policy, Econjournals, vol. 7(2), pages 262-286.
  30. Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafał, 2013. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," Energy Economics, Elsevier, vol. 39(C), pages 13-27.
  31. Serinaldi, Francesco, 2011. "Distributional modeling and short-term forecasting of electricity prices by Generalized Additive Models for Location, Scale and Shape," Energy Economics, Elsevier, vol. 33(6), pages 1216-1226.
  32. Zarnikau, J. & Tsai, C.H. & Woo, C.K., 2020. "Determinants of the wholesale prices of energy and ancillary services in the U.S. Midcontinent electricity market," Energy, Elsevier, vol. 195(C).
  33. Woo, C.K. & Shiu, A. & Liu, Y. & Luo, X. & Zarnikau, J., 2018. "Consumption effects of an electricity decarbonization policy: Hong Kong," Energy, Elsevier, vol. 144(C), pages 887-902.
  34. Sandro Sapio, 2012. "Modeling the distribution of day-ahead electricity returns: a comparison," Quantitative Finance, Taylor & Francis Journals, vol. 12(12), pages 1935-1949, December.
  35. Souhir, Ben Amor & Heni, Boubaker & Lotfi, Belkacem, 2019. "Price risk and hedging strategies in Nord Pool electricity market evidence with sector indexes," Energy Economics, Elsevier, vol. 80(C), pages 635-655.
  36. Facchini, Angelo & Rubino, Alessandro & Caldarelli, Guido & Di Liddo, Giuseppe, 2019. "Changes to Gate Closure and its impact on wholesale electricity prices: The case of the UK," Energy Policy, Elsevier, vol. 125(C), pages 110-121.
  37. Raviv, Eran & Bouwman, Kees E. & van Dijk, Dick, 2015. "Forecasting day-ahead electricity prices: Utilizing hourly prices," Energy Economics, Elsevier, vol. 50(C), pages 227-239.
  38. Florian Ziel & Rick Steinert & Sven Husmann, 2014. "Efficient Modeling and Forecasting of the Electricity Spot Price," Papers 1402.7027, arXiv.org, revised Oct 2014.
  39. Mayer, Klaus & Schmid, Thomas & Weber, Florian, 2011. "Modeling electricity spot prices - Combining mean-reversion, spikes and stochastic volatility," CEFS Working Paper Series 2011-02, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
  40. Weron, Rafał & Zator, Michał, 2014. "Revisiting the relationship between spot and futures prices in the Nord Pool electricity market," Energy Economics, Elsevier, vol. 44(C), pages 178-190.
  41. Wu, Da-Chun & Amini, Amin & Razban, Ali & Chen, Jie, 2018. "ARC algorithm: A novel approach to forecast and manage daily electrical maximum demand," Energy, Elsevier, vol. 154(C), pages 383-389.
  42. Yan, Guan & Trück, Stefan, 2020. "A dynamic network analysis of spot electricity prices in the Australian national electricity market," Energy Economics, Elsevier, vol. 92(C).
  43. Le Pen, Yannick & Sévi, Benoît, 2010. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Energy Economics, Elsevier, vol. 32(4), pages 758-770, July.
  44. Ali Al-Aradi & Alvaro Cartea & Sebastian Jaimungal, 2018. "Technical Uncertainty in Real Options with Learning," Papers 1803.05831, arXiv.org, revised Jul 2018.
  45. Møller, Niels Framroze & Møller Andersen, Frits, 2015. "An econometric analysis of electricity demand response to price changes at the intra-day horizon: The case of manufacturing industry in West Denmark," MPRA Paper 66178, University Library of Munich, Germany, revised 15 Aug 2015.
  46. Eichler, M. & Türk, D., 2013. "Fitting semiparametric Markov regime-switching models to electricity spot prices," Energy Economics, Elsevier, vol. 36(C), pages 614-624.
  47. 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.
  48. Jordanka Angelova & Gergana Kulina – Radeva, 2019. "Development of a Method of Internal Reference Price for Redistribution of Energy Imbalances in Balancing Groups," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 4, pages 515-525, December.
  49. Abdou Kâ Diongue & Dominique Guegan, 2008. "The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics," Post-Print halshs-00259225, HAL.
  50. Daniel Manfre Jaimes & Manuel Zamudio López & Hamidreza Zareipour & Mike Quashie, 2023. "A Hybrid Model for Multi-Day-Ahead Electricity Price Forecasting considering Price Spikes," Forecasting, MDPI, vol. 5(3), pages 1-23, July.
  51. Pawel Maryniak & Rafal Weron, 2014. "Forecasting the occurrence of electricity price spikes in the UK power market," HSC Research Reports HSC/14/11, Hugo Steinhaus Center, Wroclaw University of Technology.
  52. Lips, Johannes, 2016. "Do they still matter? – Impact of Fossil Fuels on Electricity Prices in the Light of Increased Renewable Generation," VfS Annual Conference 2016 (Augsburg): Demographic Change 145601, Verein für Socialpolitik / German Economic Association.
  53. Tomasz Popławski & Sebastian Dudzik & Piotr Szeląg, 2023. "Forecasting of Energy Balance in Prosumer Micro-Installations Using Machine Learning Models," Energies, MDPI, vol. 16(18), pages 1-24, September.
  54. Chang, Chih-Hao & Chen, Zih-Bing & Huang, Shih-Feng, 2022. "Forecasting of high-resolution electricity consumption with stochastic climatic covariates via a functional time series approach," Applied Energy, Elsevier, vol. 309(C).
  55. Mario Domingues de Paula Simões & Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto & Leonardo Lima Gomes, 2016. "Electricity prices forecast analysis using the extreme value theory," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 5(1), pages 1-22.
  56. Afanasyev, Dmitriy O. & Fedorova, Elena A., 2019. "On the impact of outlier filtering on the electricity price forecasting accuracy," Applied Energy, Elsevier, vol. 236(C), pages 196-210.
  57. Maciejowska, Katarzyna & Nowotarski, Jakub, 2016. "A hybrid model for GEFCom2014 probabilistic electricity price forecasting," International Journal of Forecasting, Elsevier, vol. 32(3), pages 1051-1056.
  58. Ergemen, Yunus Emre & Rodríguez-Caballero, C. Vladimir, 2023. "Estimation of a dynamic multi-level factor model with possible long-range dependence," International Journal of Forecasting, Elsevier, vol. 39(1), pages 405-430.
  59. Kristiansen, Tarjei, 2012. "Forecasting Nord Pool day-ahead prices with an autoregressive model," Energy Policy, Elsevier, vol. 49(C), pages 328-332.
  60. Simon Pezzutto & Gianluca Grilli & Stefano Zambotti & Stefan Dunjic, 2018. "Forecasting Electricity Market Price for End Users in EU28 until 2020—Main Factors of Influence," Energies, MDPI, vol. 11(6), pages 1-18, June.
  61. Hammad Mahmoud A. & Jereb Borut & Rosi Bojan & Dragan Dejan, 2020. "Methods and Models for Electric Load Forecasting: A Comprehensive Review," Logistics, Supply Chain, Sustainability and Global Challenges, Sciendo, vol. 11(1), pages 51-76, February.
  62. Bartosz Uniejewski & Jakub Nowotarski & Rafał Weron, 2016. "Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting," Energies, MDPI, vol. 9(8), pages 1-22, August.
  63. Lingohr, Daniel & Müller, Gernot, 2021. "Conditionally independent increment processes for modeling electricity prices with regard to renewable power generation," Energy Economics, Elsevier, vol. 103(C).
  64. Alexopoulos, Thomas A., 2017. "The growing importance of natural gas as a predictor for retail electricity prices in US," Energy, Elsevier, vol. 137(C), pages 219-233.
  65. Jingrui Xie & Tao Hong, 2017. "Wind Speed for Load Forecasting Models," Sustainability, MDPI, vol. 9(5), pages 1-12, May.
  66. Kristjanpoller, Werner & Minutolo, Marcel C., 2021. "Asymmetric multi-fractal cross-correlations of the price of electricity in the US with crude oil and the natural gas," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 572(C).
  67. Johannes Kaufmann & Philipp Artur Kienscherf & Wolfgang Ketter, 2020. "Modeling and Managing Joint Price and Volumetric Risk for Volatile Electricity Portfolios," Energies, MDPI, vol. 13(14), pages 1-19, July.
  68. Pellini, Elisabetta, 2021. "Estimating income and price elasticities of residential electricity demand with Autometrics," Energy Economics, Elsevier, vol. 101(C).
  69. Grzegorz Marcjasz & Tomasz Serafin & Rafał Weron, 2018. "Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting," Energies, MDPI, vol. 11(9), pages 1-20, September.
  70. Sung Chan Park & Young Gyu Jin & Yong Tae Yoon, 2015. "Designing a Profit-Maximizing Critical Peak Pricing Scheme Considering the Payback Phenomenon," Energies, MDPI, vol. 8(10), pages 1-17, October.
  71. Niels Haldrup & Oskar Knapik & Tommaso Proietti, 2016. "A generalized exponential time series regression model for electricity prices," CREATES Research Papers 2016-08, Department of Economics and Business Economics, Aarhus University.
  72. Fred Espen Benth & Rodwell Kufakunesu, 2009. "Pricing Of Exotic Energy Derivatives Based On Arithmetic Spot Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(04), pages 491-506.
  73. Adam Misiorek & Rafal Weron, 2010. "Heavy-tailed distributions in VaR calculations," HSC Research Reports HSC/10/05, Hugo Steinhaus Center, Wroclaw University of Technology.
  74. Egil Ferkingstad & Anders L{o}land & Mathilde Wilhelmsen, 2011. "Causal modeling and inference for electricity markets," Papers 1110.5429, arXiv.org.
  75. Christopher Kath & Florian Ziel, 2018. "The value of forecasts: Quantifying the economic gains of accurate quarter-hourly electricity price forecasts," Papers 1811.08604, arXiv.org.
  76. Benjamin R Auer, 2016. "Pure return persistence, Hurst exponents and hedge fund selection – A practical note," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 319-330, September.
  77. Jaume Rosselló Nadal & Mohcine Bakhat, 2009. "A new approach to estimating tourism-induced electricity consumption," CRE Working Papers (Documents de treball del CRE) 2009/6, Centre de Recerca Econòmica (UIB ·"Sa Nostra").
  78. Rudiger Kiesel & Gero Schindlmayr & Reik Borger, 2009. "A two-factor model for the electricity forward market," Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 279-287.
  79. Uniejewski, Bartosz & Marcjasz, Grzegorz & Weron, Rafał, 2019. "On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting," Energy Economics, Elsevier, vol. 79(C), pages 171-182.
  80. Hickey, Emily & Loomis, David G. & Mohammadi, Hassan, 2012. "Forecasting hourly electricity prices using ARMAX–GARCH models: An application to MISO hubs," Energy Economics, Elsevier, vol. 34(1), pages 307-315.
  81. Erdogdu, Erkan, 2016. "Asymmetric volatility in European day-ahead power markets: A comparative microeconomic analysis," Energy Economics, Elsevier, vol. 56(C), pages 398-409.
  82. Dmitriy O. Afanasyev & Elena A. Fedorova & Evgeniy V. Gilenko, 2021. "The fundamental drivers of electricity price: a multi-scale adaptive regression analysis," Empirical Economics, Springer, vol. 60(4), pages 1913-1938, April.
  83. Mira Watermeyer & Thomas Mobius & Oliver Grothe & Felix Musgens, 2023. "A hybrid model for day-ahead electricity price forecasting: Combining fundamental and stochastic modelling," Papers 2304.09336, arXiv.org.
  84. Eichler, M. & Grothe, O. & Manner, H. & Türk, D.D.T., 2012. "Modeling spike occurrences in electricity spot prices for forecasting," Research Memorandum 029, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  85. Janczura, Joanna & Trück, Stefan & Weron, Rafał & Wolff, Rodney C., 2013. "Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling," Energy Economics, Elsevier, vol. 38(C), pages 96-110.
  86. Weron, Rafal & Misiorek, Adam, 2008. "Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models," International Journal of Forecasting, Elsevier, vol. 24(4), pages 744-763.
  87. Stefan Trück & Rafał Weron, 2016. "Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(6), pages 587-611, June.
  88. Nowotarski, Jakub & Liu, Bidong & Weron, Rafał & Hong, Tao, 2016. "Improving short term load forecast accuracy via combining sister forecasts," Energy, Elsevier, vol. 98(C), pages 40-49.
  89. Dordonnat, Virginie & Koopman, Siem Jan & Ooms, Marius, 2012. "Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3134-3152.
  90. Bartosz Uniejewski & Rafał Weron, 2018. "Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models," Energies, MDPI, vol. 11(8), pages 1-26, August.
  91. Zheng Xu, 2016. "An alternative circular smoothing method to nonparametric estimation of periodic functions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(9), pages 1649-1672, July.
  92. Alexis Tantet & Marc Stéfanon & Philippe Drobinski & Jordi Badosa & Silvia Concettini & Anna Cretì & Claudia D’Ambrosio & Dimitri Thomopulos & Peter Tankov, 2019. "e 4 clim 1.0: The Energy for a Climate Integrated Model: Description and Application to Italy," Energies, MDPI, vol. 12(22), pages 1-37, November.
  93. Hakan Acaroğlu & Fausto Pedro García Márquez, 2021. "Comprehensive Review on Electricity Market Price and Load Forecasting Based on Wind Energy," Energies, MDPI, vol. 14(22), pages 1-23, November.
  94. Beltrán, Sergio & Castro, Alain & Irizar, Ion & Naveran, Gorka & Yeregui, Imanol, 2022. "Framework for collaborative intelligence in forecasting day-ahead electricity price," Applied Energy, Elsevier, vol. 306(PA).
  95. Liebl, Dominik, 2010. "Modeling hourly Electricity Spot Market Prices as non stationary functional times series," MPRA Paper 25017, University Library of Munich, Germany.
  96. 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.
  97. Peters, G.W. & Sisson, S.A. & Fan, Y., 2012. "Likelihood-free Bayesian inference for α-stable models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3743-3756.
  98. Mari, Carlo & Tondini, Daniela, 2010. "Regime switches induced by supply–demand equilibrium: a model for power-price dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4819-4827.
  99. Forrest, Sam & MacGill, Iain, 2013. "Assessing the impact of wind generation on wholesale prices and generator dispatch in the Australian National Electricity Market," Energy Policy, Elsevier, vol. 59(C), pages 120-132.
  100. Li, Wei & Paraschiv, Florentina, 2022. "Modelling the evolution of wind and solar power infeed forecasts," Journal of Commodity Markets, Elsevier, vol. 25(C).
  101. Li, Wei & Becker, Denis Mike, 2021. "Day-ahead electricity price prediction applying hybrid models of LSTM-based deep learning methods and feature selection algorithms under consideration of market coupling," Energy, Elsevier, vol. 237(C).
  102. Szymon Borak & Adam Misiorek & Rafał Weron, 2010. "Models for Heavy-tailed Asset Returns," SFB 649 Discussion Papers SFB649DP2010-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  103. Bidong Liu & Jakub Nowotarski & Tao Hong & Rafal Weron, 2015. "Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts," HSC Research Reports HSC/15/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  104. Joanna Janczura & Rafał Weron, 2013. "Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 97(3), pages 239-270, July.
  105. Janczura, Joanna & Weron, Rafal, 2010. "Goodness-of-fit testing for regime-switching models," MPRA Paper 22871, University Library of Munich, Germany.
  106. Kurucak, Abdurrahman & Shcherbakova, Anastasia, 2016. "Estimating the hedging value of an energy exchange in Turkey to a retail power consumer," Energy, Elsevier, vol. 101(C), pages 16-26.
  107. Ziel, Florian & Steinert, Rick, 2016. "Electricity price forecasting using sale and purchase curves: The X-Model," Energy Economics, Elsevier, vol. 59(C), pages 435-454.
  108. Weron, Rafal & Misiorek, Adam, 2007. "Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts?," MPRA Paper 2292, University Library of Munich, Germany, revised Oct 2007.
  109. Juan Ignacio Pe~na & Rosa Rodriguez, 2022. "Are EU Climate and Energy Package 20-20-20 targets achievable and compatible? Evidence from the impact of renewables on electricity prices," Papers 2202.01720, arXiv.org.
  110. Narayan, Paresh Kumar & Popp, Stephan, 2009. "Can the electricity market be characterised by asymmetric behaviour?," Energy Policy, Elsevier, vol. 37(11), pages 4364-4372, November.
  111. Antonio Bello & Javier Reneses & Antonio Muñoz, 2016. "Medium-Term Probabilistic Forecasting of Extremely Low Prices in Electricity Markets: Application to the Spanish Case," Energies, MDPI, vol. 9(3), pages 1-27, March.
  112. Vazquez, Miguel & Barquín, Julián, 2009. "A fundamental power price model with oligopolistic competition representation," MPRA Paper 15629, University Library of Munich, Germany.
  113. Orosz, Matthew & Altes-Buch, Queralt & Mueller, Amy & Lemort, Vincent, 2018. "Experimental validation of an electrical and thermal energy demand model for rapid assessment of rural health centers in sub-Saharan Africa," Applied Energy, Elsevier, vol. 218(C), pages 382-390.
  114. Eichler, M. & Türk, D.D.T., 2012. "Fitting semiparametric Markov regime-switching models to electricity spot prices," Research Memorandum 035, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  115. Florian Ziel & Rick Steinert, 2015. "Electricity Price Forecasting using Sale and Purchase Curves: The X-Model," Papers 1509.00372, arXiv.org, revised Aug 2016.
  116. Rafal Weron & Florian Ziel, 2018. "Electricity price forecasting," HSC Research Reports HSC/18/08, Hugo Steinhaus Center, Wroclaw University of Technology.
  117. Alexandre Lucas & Konstantinos Pegios & Evangelos Kotsakis & Dan Clarke, 2020. "Price Forecasting for the Balancing Energy Market Using Machine-Learning Regression," Energies, MDPI, vol. 13(20), pages 1-16, October.
  118. Fanidhar Dewangan & Almoataz Y. Abdelaziz & Monalisa Biswal, 2023. "Load Forecasting Models in Smart Grid Using Smart Meter Information: A Review," Energies, MDPI, vol. 16(3), pages 1-55, January.
  119. Weron, Rafał & Zator, Michał, 2015. "A note on using the Hodrick–Prescott filter in electricity markets," Energy Economics, Elsevier, vol. 48(C), pages 1-6.
  120. Trull, Oscar & García-Díaz, J. Carlos & Peiró-Signes, A., 2022. "Multiple seasonal STL decomposition with discrete-interval moving seasonalities," Applied Mathematics and Computation, Elsevier, vol. 433(C).
  121. Suripto & Supriyanto, 2021. "The Effect of the COVID-19 Pandemic on Stock Prices with the Event Window Approach: A Case Study of State Gas Companies, in the Energy Sector," International Journal of Energy Economics and Policy, Econjournals, vol. 11(3), pages 155-162.
  122. Krzysztof Gajowniczek & Tomasz Ząbkowski, 2017. "Electricity forecasting on the individual household level enhanced based on activity patterns," PLOS ONE, Public Library of Science, vol. 12(4), pages 1-26, April.
  123. Hong, Tao & Wang, Pu & White, Laura, 2015. "Weather station selection for electric load forecasting," International Journal of Forecasting, Elsevier, vol. 31(2), pages 286-295.
  124. Carlo Lucheroni, 2012. "A hybrid SETARX model for spikes in tight electricity markets," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 22(1), pages 13-49.
  125. Müller, Gernot & Seibert, Armin, 2019. "Bayesian estimation of stable CARMA spot models for electricity prices," Energy Economics, Elsevier, vol. 78(C), pages 267-277.
  126. Joanna Janczura & Rafał Weron, 2012. "Efficient estimation of Markov regime-switching models: An application to electricity spot prices," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(3), pages 385-407, July.
  127. Petrella, Andrea & Sapio, Alessandro, 2012. "Assessing the impact of forward trading, retail liberalization, and white certificates on the Italian wholesale electricity prices," Energy Policy, Elsevier, vol. 40(C), pages 307-317.
  128. Samper, M. & Coria, G. & Facchini, M., 2021. "Grid parity analysis of distributed PV generation considering tariff policies in Argentina," Energy Policy, Elsevier, vol. 157(C).
  129. Woo, C.K. & Moore, J. & Schneiderman, B. & Ho, T. & Olson, A. & Alagappan, L. & Chawla, K. & Toyama, N. & Zarnikau, J., 2016. "Merit-order effects of renewable energy and price divergence in California’s day-ahead and real-time electricity markets," Energy Policy, Elsevier, vol. 92(C), pages 299-312.
  130. Chi-Keung Woo, Ira Horowitz, Jay Zarnikau, Jack Moore, Brendan Schneiderman, Tony Ho, and Eric Leung, 2016. "What Moves the Ex Post Variable Profit of Natural-Gas-Fired Generation in California?," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
  131. Paraschiv, Florentina & Erni, David & Pietsch, Ralf, 2014. "The impact of renewable energies on EEX day-ahead electricity prices," Energy Policy, Elsevier, vol. 73(C), pages 196-210.
  132. Fujimoto, Yu & Fujita, Megumi & Hayashi, Yasuhiro, 2021. "Deep reservoir architecture for short-term residential load forecasting: An online learning scheme for edge computing," Applied Energy, Elsevier, vol. 298(C).
  133. Joanna Janczura & Rafal Weron, 2011. "Black swans or dragon kings? A simple test for deviations from the power law," Papers 1102.3712, arXiv.org.
  134. Grothe, Oliver & Kächele, Fabian & Krüger, Fabian, 2023. "From point forecasts to multivariate probabilistic forecasts: The Schaake shuffle for day-ahead electricity price forecasting," Energy Economics, Elsevier, vol. 120(C).
  135. Balcerek, Michał & Burnecki, Krzysztof, 2020. "Testing of fractional Brownian motion in a noisy environment," Chaos, Solitons & Fractals, Elsevier, vol. 140(C).
  136. Weron, Rafal, 2008. "Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo [Power security: Risk > Risk management > Security]," MPRA Paper 18786, University Library of Munich, Germany, revised 2008.
  137. Prado, Francisco & Minutolo, Marcel C. & Kristjanpoller, Werner, 2020. "Forecasting based on an ensemble Autoregressive Moving Average - Adaptive neuro - Fuzzy inference system – Neural network - Genetic Algorithm Framework," Energy, Elsevier, vol. 197(C).
  138. Ergemen, Yunus Emre & Haldrup, Niels & Rodríguez-Caballero, Carlos Vladimir, 2016. "Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads," Energy Economics, Elsevier, vol. 60(C), pages 79-96.
  139. Ward, K.R. & Green, R. & Staffell, I., 2019. "Getting prices right in structural electricity market models," Energy Policy, Elsevier, vol. 129(C), pages 1190-1206.
  140. 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.
  141. 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.
  142. Weber, Florian & Schmid, Thomas & Pietz, Matthäus & Kaserer, Christoph, 2010. "Simulation-based valuation of project finance: does model complexity really matter?," CEFS Working Paper Series 2010-03, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
  143. Weron, Rafal & Janczura, Joanna, 2010. "Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices," MPRA Paper 26628, University Library of Munich, Germany.
  144. Yunus Emre Ergemen & Carlos Vladimir Rodríguez-Caballero, 2016. "A Dynamic Multi-Level Factor Model with Long-Range Dependence," CREATES Research Papers 2016-23, Department of Economics and Business Economics, Aarhus University.
  145. Roy Cerqueti & Paolo Falbo & Cristian Pelizzari & Federica Ricca & Andrea Scozzari, 2017. "A mixed integer linear program to compress transition probability matrices in Markov chain bootstrapping," Annals of Operations Research, Springer, vol. 248(1), pages 163-187, January.
  146. Lyle, Matthew R. & Elliott, Robert J., 2009. "A 'simple' hybrid model for power derivatives," Energy Economics, Elsevier, vol. 31(5), pages 757-767, September.
  147. 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.
  148. Julia Adamska & Łukasz Bielak & Joanna Janczura & Agnieszka Wyłomańska, 2022. "From Multi- to Univariate: A Product Random Variable with an Application to Electricity Market Transactions: Pareto and Student’s t -Distribution Case," Mathematics, MDPI, vol. 10(18), pages 1-29, September.
  149. Lin Han & Ivor Cribben & Stefan Trueck, 2022. "Extremal Dependence in Australian Electricity Markets," Papers 2202.09970, arXiv.org.
  150. Lisi, Francesco & Nan, Fany, 2014. "Component estimation for electricity prices: Procedures and comparisons," Energy Economics, Elsevier, vol. 44(C), pages 143-159.
  151. Di Cosmo, Valeria, 2015. "Forward Price, Renewables and the Electricity Price: The Case of Italy," Papers WP511, Economic and Social Research Institute (ESRI).
  152. Fanone, Enzo & Gamba, Andrea & Prokopczuk, Marcel, 2013. "The case of negative day-ahead electricity prices," Energy Economics, Elsevier, vol. 35(C), pages 22-34.
  153. Alvarez-Ramirez, J. & Escarela-Perez, R. & Espinosa-Perez, G. & Urrea, R., 2009. "Dynamics of electricity market correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(11), pages 2173-2188.
  154. Claudio Monteiro & Ignacio J. Ramirez-Rosado & L. Alfredo Fernandez-Jimenez & Pedro Conde, 2016. "Short-Term Price Forecasting Models Based on Artificial Neural Networks for Intraday Sessions in the Iberian Electricity Market," Energies, MDPI, vol. 9(9), pages 1-24, September.
  155. Filippo Beltrami & Fulvio Fontini & Monica Giulietti & Luigi Grossi, 2022. "The Zonal and Seasonal CO2 Marginal Emissions Factors for the Italian Power Market," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 83(2), pages 381-411, October.
  156. Nowotarski, Jakub & Raviv, Eran & Trück, Stefan & Weron, Rafał, 2014. "An empirical comparison of alternative schemes for combining electricity spot price forecasts," Energy Economics, Elsevier, vol. 46(C), pages 395-412.
  157. Bunn, Derek W. & Gianfreda, Angelica, 2010. "Integration and shock transmissions across European electricity forward markets," Energy Economics, Elsevier, vol. 32(2), pages 278-291, March.
  158. Nicholas Apergis & Sofia Eleftheriou & Dimitrios Voliotis, 2017. "Asymmetric Spillover Effects between Agricultural Commodity Prices and Biofuel Energy Prices," International Journal of Energy Economics and Policy, Econjournals, vol. 7(1), pages 166-177.
  159. Joanna Janczura, 2012. "Pricing electricity derivatives within a Markov regime-switching model," Papers 1203.5442, arXiv.org.
  160. Krzysztof Gajowniczek & Tomasz Ząbkowski, 2017. "Two-Stage Electricity Demand Modeling Using Machine Learning Algorithms," Energies, MDPI, vol. 10(10), pages 1-25, October.
  161. Sergio Bruno & Gabriella Dellino & Massimo La Scala & Carlo Meloni, 2019. "A Microforecasting Module for Energy Management in Residential and Tertiary Buildings †," Energies, MDPI, vol. 12(6), pages 1-20, March.
  162. Paraschiv, Florentina, 2013. "Price Dynamics in Electricity Markets," Working Papers on Finance 1314, University of St. Gallen, School of Finance.
  163. Franki, Vladimir & Višković, Alfredo, 2021. "Multi-criteria decision support: A case study of Southeast Europe power systems," Utilities Policy, Elsevier, vol. 73(C).
  164. Di Cosmo, Valeria & Malaguzzi Valeri, Laura, 2014. "The incentive to invest in thermal plants in the presence of wind generation," Energy Economics, Elsevier, vol. 43(C), pages 306-315.
  165. Afanasyev, D. & Fedorova, E., 2018. "External and Internal Determinants on the Electricity Market: A Multi-Scale Adaptive Causal Analysis," Journal of the New Economic Association, New Economic Association, vol. 39(3), pages 33-54.
  166. Cartea, Álvaro & González-Pedraz, Carlos, 2012. "How much should we pay for interconnecting electricity markets? A real options approach," Energy Economics, Elsevier, vol. 34(1), pages 14-30.
  167. Magdalena Borgosz-Koczwara & Aleksander Weron & Agnieszka Wyłomańska, 2009. "Stochastic models for bidding strategies on oligopoly electricity market," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 579-592, July.
  168. Katarzyna Maciejowska & Rafał Weron, 2015. "Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships," Computational Statistics, Springer, vol. 30(3), pages 805-819, September.
  169. Algieri, Bernardina & Leccadito, Arturo & Tunaru, Diana, 2021. "Risk premia in electricity derivatives markets," Energy Economics, Elsevier, vol. 100(C).
  170. Marossy, Zita, 2011. "A villamos energia áralakulásának egy új modellje [A new model for price movement in electric power]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 253-274.
  171. Brenda López Cabrera & Franziska Schulz, 2017. "Forecasting Generalized Quantiles of Electricity Demand: A Functional Data Approach," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(517), pages 127-136, January.
  172. Goia, Aldo & May, Caterina & Fusai, Gianluca, 2010. "Functional clustering and linear regression for peak load forecasting," International Journal of Forecasting, Elsevier, vol. 26(4), pages 700-711, October.
  173. Ahmadi, Abdollah & Charwand, Mansour & Siano, Pierluigi & Nezhad, Ali Esmaeel & Sarno, Debora & Gitizadeh, Mohsen & Raeisi, Fatima, 2016. "A novel two-stage stochastic programming model for uncertainty characterization in short-term optimal strategy for a distribution company," Energy, Elsevier, vol. 117(P1), pages 1-9.
  174. Peña, Juan Ignacio & Rodríguez, Rosa, 2019. "Are EU's Climate and Energy Package 20-20-20 targets achievable and compatible? Evidence from the impact of renewables on electricity prices," Energy, Elsevier, vol. 183(C), pages 477-486.
  175. Andrea Petrella & Sandro Sapio, 2010. "No PUN intended: A time series analysis of the Italian day-ahead electricity prices," RSCAS Working Papers 2010/03, European University Institute.
  176. Auer, Benjamin R., 2016. "How does Germany's green energy policy affect electricity market volatility? An application of conditional autoregressive range models," Energy Policy, Elsevier, vol. 98(C), pages 621-628.
  177. Olga Y. Uritskaya & Vadim M. Uritsky, 2015. "Predictability of price movements in deregulated electricity markets," Papers 1505.08117, arXiv.org.
  178. Maciej Kostrzewski & Jadwiga Kostrzewska, 2021. "The Impact of Forecasting Jumps on Forecasting Electricity Prices," Energies, MDPI, vol. 14(2), pages 1-17, January.
  179. Jordan Roulleau-Pasdeloup, 2016. "The Government Spending Multiplier in a Deep Recession," Cahiers de Recherches Economiques du Département d'économie 16.22, Université de Lausanne, Faculté des HEC, Département d’économie.
  180. Christensen, T.M. & Hurn, A.S. & Lindsay, K.A., 2012. "Forecasting spikes in electricity prices," International Journal of Forecasting, Elsevier, vol. 28(2), pages 400-411.
  181. Wang, Pu & Liu, Bidong & Hong, Tao, 2016. "Electric load forecasting with recency effect: A big data approach," International Journal of Forecasting, Elsevier, vol. 32(3), pages 585-597.
  182. Wang, Peng & Zareipour, Hamidreza & Rosehart, William D., 2011. "Characteristics of the prices of operating reserves and regulation services in competitive electricity markets," Energy Policy, Elsevier, vol. 39(6), pages 3210-3221, June.
  183. Zarnikau, J. & Woo, C.K. & Zhu, S. & Tsai, C.H., 2019. "Market price behavior of wholesale electricity products: Texas," Energy Policy, Elsevier, vol. 125(C), pages 418-428.
  184. Mauritzen, Johannes, 2015. "How price spikes can help overcome the energy efficiency gap," Economics Letters, Elsevier, vol. 134(C), pages 114-117.
  185. Fred Espen Benth & Claudia Kluppelberg & Gernot Muller & Linda Vos, 2012. "Futures pricing in electricity markets based on stable CARMA spot models," Papers 1201.1151, arXiv.org.
  186. Bartosz Uniejewski & Rafal Weron & Florian Ziel, 2017. "Variance stabilizing transformations for electricity spot price forecasting," HSC Research Reports HSC/17/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  187. Ani Khalatyan, 2014. "Energy sector investment modeling under uncertainty for RA from the view of energy security," ERSA conference papers ersa14p1800, European Regional Science Association.
  188. Stefan Trück & Wolfgang Härdle & Rafal Weron, 2012. "The relationship between spot and futures CO2 emission allowance prices in the EU-ETS," HSC Research Reports HSC/12/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  189. O'Mahoney, Amy & Denny, Eleanor, 2013. "Electricity prices and generator behaviour in gross pool electricity markets," Energy Policy, Elsevier, vol. 63(C), pages 628-637.
  190. Massimiliano Caporin & Fulvio Fontini & Paolo Santucci De Magistris, 2017. "Price convergence within and between the Italian electricity day-ahead and dispatching services markets," "Marco Fanno" Working Papers 0215, Dipartimento di Scienze Economiche "Marco Fanno".
  191. Zugno, Marco & Morales, Juan Miguel & Pinson, Pierre & Madsen, Henrik, 2013. "A bilevel model for electricity retailers' participation in a demand response market environment," Energy Economics, Elsevier, vol. 36(C), pages 182-197.
  192. Janczura, Joanna & Weron, Rafal, 2009. "Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions," MPRA Paper 18784, University Library of Munich, Germany.
  193. Nowotarski, Jakub & Weron, Rafał, 2016. "On the importance of the long-term seasonal component in day-ahead electricity price forecasting," Energy Economics, Elsevier, vol. 57(C), pages 228-235.
  194. Bastian Felix, 2012. "Gas Storage Valuation: A Comparative Simulation Study," EWL Working Papers 1201, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised Apr 2014.
  195. Sumer, Kutluk Kagan & Goktas, Ozlem & Hepsag, Aycan, 2009. "The application of seasonal latent variable in forecasting electricity demand as an alternative method," Energy Policy, Elsevier, vol. 37(4), pages 1317-1322, April.
  196. Manogaran Madhiarasan & Mohamed Louzazni, 2021. "Different Forecasting Horizons Based Performance Analysis of Electricity Load Forecasting Using Multilayer Perceptron Neural Network," Forecasting, MDPI, vol. 3(4), pages 1-35, November.
  197. Grzegorz Marcjasz & Bartosz Uniejewski & Rafal Weron, 2017. "Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models," HSC Research Reports HSC/17/03, Hugo Steinhaus Center, Wroclaw University of Technology.
  198. Erik Haugom & Iveta Malasevska & Gudbrand Lien, 2021. "Optimal pricing of alpine ski passes in the case of crowdedness and reduced skiing capacity," Empirical Economics, Springer, vol. 61(1), pages 469-487, July.
  199. Carlo Fezzi & Luca Mosetti, 2018. "Size matters: Estimation sample length and electricity price forecasting accuracy," DEM Working Papers 2018/10, Department of Economics and Management.
  200. Woo, C.K. & Sreedharan, P. & Hargreaves, J. & Kahrl, F. & Wang, J. & Horowitz, I., 2014. "A review of electricity product differentiation," Applied Energy, Elsevier, vol. 114(C), pages 262-272.
  201. Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 2013. "Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices," HSC Research Reports HSC/13/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  202. Marcjasz, Grzegorz & Uniejewski, Bartosz & Weron, Rafał, 2020. "Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts?," International Journal of Forecasting, Elsevier, vol. 36(2), pages 466-479.
  203. Mayer, Klaus & Trück, Stefan, 2018. "Electricity markets around the world," Journal of Commodity Markets, Elsevier, vol. 9(C), pages 77-100.
  204. Avci, Ezgi & Ketter, Wolfgang & van Heck, Eric, 2018. "Managing electricity price modeling risk via ensemble forecasting: The case of Turkey," Energy Policy, Elsevier, vol. 123(C), pages 390-403.
  205. Sergey Voronin & Jarmo Partanen, 2013. "Price Forecasting in the Day-Ahead Energy Market by an Iterative Method with Separate Normal Price and Price Spike Frameworks," Energies, MDPI, vol. 6(11), pages 1-24, November.
  206. Woo, C.K. & Chen, Y. & Olson, A. & Moore, J. & Schlag, N. & Ong, A. & Ho, T., 2017. "Electricity price behavior and carbon trading: New evidence from California," Applied Energy, Elsevier, vol. 204(C), pages 531-543.
  207. Jakub Nowotarski & Rafal Weron, 2016. "To combine or not to combine? Recent trends in electricity price forecasting," HSC Research Reports HSC/16/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  208. Szymon Borak & Rafał Weron, 2008. "A semiparametric factor model for electricity forward curve dynamics," SFB 649 Discussion Papers SFB649DP2008-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  209. Pawel Maryniak & Stefan Trueck & Rafal Weron, 2016. "Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets," HSC Research Reports HSC/16/10, Hugo Steinhaus Center, Wroclaw University of Technology.
  210. Broszkiewicz-Suwaj, Ewa & Jurlewicz, Agnieszka, 2008. "Pricing on electricity market based on coupled-continuous-time-random-walk concept," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(22), pages 5503-5510.
  211. Vallés, Mercedes & Bello, Antonio & Reneses, Javier & Frías, Pablo, 2018. "Probabilistic characterization of electricity consumer responsiveness to economic incentives," Applied Energy, Elsevier, vol. 216(C), pages 296-310.
  212. Niematallah Elamin & Mototsugu Fukushige, 2018. "Quantile Regression Model for Peak Load Demand Forecasting with Approximation by Triangular Distribution to Avoid Blackouts," International Journal of Energy Economics and Policy, Econjournals, vol. 8(5), pages 119-124.
  213. Christian Redl & Derek Bunn, 2013. "Determinants of the premium in forward contracts," Journal of Regulatory Economics, Springer, vol. 43(1), pages 90-111, January.
  214. Nima Amjady & Farshid Keynia, 2011. "A New Neural Network Approach to Short Term Load Forecasting of Electrical Power Systems," Energies, MDPI, vol. 4(3), pages 1-16, March.
  215. Bakhat, Mohcine & Rosselló, Jaume, 2011. "Estimation of tourism-induced electricity consumption: The case study of Balearics Islands, Spain," Energy Economics, Elsevier, vol. 33(3), pages 437-444, May.
  216. Woo, C.K. & Chen, Y. & Zarnikau, J. & Olson, A. & Moore, J. & Ho, T., 2018. "Carbon trading’s impact on California’s real-time electricity market prices," Energy, Elsevier, vol. 159(C), pages 579-587.
  217. Chih-Chen Hsu & An-Sing Chen & Shih-Kuei Lin & Ting-Fu Chen, 2017. "The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices," Review of Quantitative Finance and Accounting, Springer, vol. 48(3), pages 819-848, April.
  218. Tao Hong & Katarzyna Maciejowska & Jakub Nowotarski & Rafal Weron, 2014. "Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts," HSC Research Reports HSC/14/10, Hugo Steinhaus Center, Wroclaw University of Technology.
  219. Mohammed, Nooriya A., 2018. "Modelling of unsuppressed electrical demand forecasting in Iraq for long term," Energy, Elsevier, vol. 162(C), pages 354-363.
  220. Hain, Martin & Schermeyer, Hans & Uhrig-Homburg, Marliese & Fichtner, Wolf, 2017. "An Electricity Price Modeling Framework for Renewable-Dominant Markets," Working Paper Series in Production and Energy 23, Karlsruhe Institute of Technology (KIT), Institute for Industrial Production (IIP).
  221. Haicheng Ling & Pierre-Yves Massé & Thibault Rihet & Frédéric Wurtz, 2023. "Realistic Nudging through ICT Pipelines to Help Improve Energy Self-Consumption for Management in Energy Communities," Energies, MDPI, vol. 16(13), pages 1-24, July.
  222. Mauritzen, Johannes, 2012. "Dead Battery? Wind Power, the Spot Market, and Hydro Power Interaction in the Nordic Electricity Market," Working Paper Series 908, Research Institute of Industrial Economics.
  223. Sandro Sapio, 2008. "Volatility-price relationships in power exchanges: A demand-supply analysis," LEM Papers Series 2008/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  224. Aagaard, Todd & Kleit, Andrew, 2022. "Why capacity market prices are too high," Utilities Policy, Elsevier, vol. 75(C).
  225. 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, vol. 24(4), pages 630-644.
  226. Jakub Nowotarski & Rafał Weron, 2015. "Computing electricity spot price prediction intervals using quantile regression and forecast averaging," Computational Statistics, Springer, vol. 30(3), pages 791-803, September.
  227. Woo, C.K. & Li, R. & Shiu, A. & Horowitz, I., 2013. "Residential winter kWh responsiveness under optional time-varying pricing in British Columbia," Applied Energy, Elsevier, vol. 108(C), pages 288-297.
  228. Mauritzen, Johannes, 2011. "Dead Battery? Wind Power, The Spot Market, and Hydro Power Interaction in the Nordic Electricity Market," Discussion Papers 2011/16, Norwegian School of Economics, Department of Business and Management Science.
  229. Hryshchuk, Antanina & Lessmann, Stefan, 2018. "Deregulated day-ahead electricity markets in Southeast Europe: Price forecasting and comparative structural analysis," IRTG 1792 Discussion Papers 2018-009, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  230. Luo, Jian & Hong, Tao & Gao, Zheming & Fang, Shu-Cherng, 2023. "A robust support vector regression model for electric load forecasting," International Journal of Forecasting, Elsevier, vol. 39(2), pages 1005-1020.
  231. Joanna Janczura, 2014. "Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 79(1), pages 1-30, February.
  232. Uniejewski, Bartosz & Marcjasz, Grzegorz & Weron, Rafał, 2019. "Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1533-1547.
  233. Santiago Gall n & Jorge Barrientos, 2021. "Forecasting the Colombian Electricity Spot Price under a Functional Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 11(2), pages 67-74.
  234. Magnus Perninge & Lennart Söder, 2014. "Irreversible investments with delayed reaction: an application to generation re-dispatch in power system operation," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 79(2), pages 195-224, April.
  235. Abeer Alshejari & Vassilis S. Kodogiannis & Stavros Leonidis, 2020. "Development of Neurofuzzy Architectures for Electricity Price Forecasting," Energies, MDPI, vol. 13(5), pages 1-24, March.
  236. Cerqueti, Roy & Falbo, Paolo & Guastaroba, Gianfranco & Pelizzari, Cristian, 2013. "A Tabu Search heuristic procedure in Markov chain bootstrapping," European Journal of Operational Research, Elsevier, vol. 227(2), pages 367-384.
  237. Oscar Trull & Juan Carlos García-Díaz & Alicia Troncoso, 2020. "Initialization Methods for Multiple Seasonal Holt–Winters Forecasting Models," Mathematics, MDPI, vol. 8(2), pages 1-16, February.
  238. Fred Espen Benth & Jūratė Šaltytė Benth & Steen Koekebakker, 2008. "Stochastic Modeling of Electricity and Related Markets," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6811, January.
  239. Mauritzen, Johannes, 2010. "What happens when it's Windy in Denmark? An Empirical Analysis of Wind Power on Price Volatility in the Nordic Electricity Market," Discussion Papers 2010/18, Norwegian School of Economics, Department of Business and Management Science.
  240. Mestekemper, Thomas & Kauermann, Göran & Smith, Michael S., 2013. "A comparison of periodic autoregressive and dynamic factor models in intraday energy demand forecasting," International Journal of Forecasting, Elsevier, vol. 29(1), pages 1-12.
  241. Daniela Guericke & Ignacio Blanco & Juan M. Morales & Henrik Madsen, 2020. "A two-phase stochastic programming approach to biomass supply planning for combined heat and power plants," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 42(4), pages 863-900, December.
  242. Florian Ziel & Rafal Weron, 2016. "Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models," HSC Research Reports HSC/16/08, Hugo Steinhaus Center, Wroclaw University of Technology.
  243. Rypdal, Martin & Løvsletten, Ola, 2013. "Modeling electricity spot prices using mean-reverting multifractal processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(1), pages 194-207.
  244. Auer, Benjamin R., 2016. "On time-varying predictability of emerging stock market returns," Emerging Markets Review, Elsevier, vol. 27(C), pages 1-13.
  245. Katarzyna Maciejowska & Rafal Weron, 2015. "Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals," HSC Research Reports HSC/15/04, Hugo Steinhaus Center, Wroclaw University of Technology.
  246. Oscar Trull & Angel Peiró-Signes & J. Carlos García-Díaz, 2019. "Electricity Forecasting Improvement in a Destination Using Tourism Indicators," Sustainability, MDPI, vol. 11(13), pages 1-16, July.
  247. Oscar Trull & J. Carlos Garc'ia-D'iaz & Angel Peir'o-Signes, 2024. "mshw, a forecasting library to predict short-term electricity demand based on multiple seasonal Holt-Winters," Papers 2402.10982, arXiv.org.
  248. Arkadiusz Jędrzejewski & Grzegorz Marcjasz & Rafał Weron, 2021. "Importance of the Long-Term Seasonal Component in Day-Ahead Electricity Price Forecasting Revisited: Parameter-Rich Models Estimated via the LASSO," Energies, MDPI, vol. 14(11), pages 1-17, June.
  249. Kostrzewski, Maciej & Kostrzewska, Jadwiga, 2019. "Probabilistic electricity price forecasting with Bayesian stochastic volatility models," Energy Economics, Elsevier, vol. 80(C), pages 610-620.
  250. Weron, Rafal & Misiorek, Adam, 2006. "Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market," MPRA Paper 1363, University Library of Munich, Germany.
  251. Deihimi, Ali & Orang, Omid & Showkati, Hemen, 2013. "Short-term electric load and temperature forecasting using wavelet echo state networks with neural reconstruction," Energy, Elsevier, vol. 57(C), pages 382-401.
  252. Elias, R.S. & Wahab, M.I.M. & Fang, L., 2014. "A comparison of regime-switching temperature modeling approaches for applications in weather derivatives," European Journal of Operational Research, Elsevier, vol. 232(3), pages 549-560.
  253. Julien Chevallier & Stéphane Goutte, 2017. "Estimation of Lévy-driven Ornstein–Uhlenbeck processes: application to modeling of $$\hbox {CO}_2$$ CO 2 and fuel-switching," Annals of Operations Research, Springer, vol. 255(1), pages 169-197, August.
  254. Kadir Özen & Dilem Yıldırım, 2021. "Application of Bagging in Day-Ahead Electricity Price Forecasting and Factor Augmentation," ERC Working Papers 2101, ERC - Economic Research Center, Middle East Technical University, revised Apr 2021.
  255. Maciejowska, Katarzyna & Nowotarski, Jakub & Weron, Rafał, 2016. "Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging," International Journal of Forecasting, Elsevier, vol. 32(3), pages 957-965.
  256. Woo, C.K. & Olson, A. & Chen, Y. & Moore, J. & Schlag, N. & Ong, A. & Ho, T., 2017. "Does California's CO2 price affect wholesale electricity prices in the Western U.S.A.?," Energy Policy, Elsevier, vol. 110(C), pages 9-19.
  257. Cao, K.H. & Qi, H.S. & Tsai, C.H. & Woo, C.K. & Zarnikau, J., 2021. "Energy trading efficiency in the US Midcontinent electricity markets," Applied Energy, Elsevier, vol. 302(C).
  258. Janczura, Joanna & Weron, Rafal, 2010. "An empirical comparison of alternate regime-switching models for electricity spot prices," Energy Economics, Elsevier, vol. 32(5), pages 1059-1073, September.
  259. Lynch, Muireann Á. & Shortt, Aonghus & Tol, Richard S.J. & O'Malley, Mark J., 2013. "Risk–return incentives in liberalised electricity markets," Energy Economics, Elsevier, vol. 40(C), pages 598-608.
  260. Katarzyna Maciejowska, 2014. "Fundamental and speculative shocks, what drives electricity prices?," HSC Research Reports HSC/14/05, Hugo Steinhaus Center, Wroclaw University of Technology.
  261. Pape, Christian & Hagemann, Simon & Weber, Christoph, 2016. "Are fundamentals enough? Explaining price variations in the German day-ahead and intraday power market," Energy Economics, Elsevier, vol. 54(C), pages 376-387.
  262. Wei Li & Denis Mike Becker, 2021. "Day-ahead electricity price prediction applying hybrid models of LSTM-based deep learning methods and feature selection algorithms under consideration of market coupling," Papers 2101.05249, arXiv.org, revised Jul 2021.
  263. Ziel, Florian & Steinert, Rick & Husmann, Sven, 2015. "Efficient modeling and forecasting of electricity spot prices," Energy Economics, Elsevier, vol. 47(C), pages 98-111.
  264. Heng Xiong & Rogemar Mamon, 2018. "Putting a price tag on temperature," Computational Management Science, Springer, vol. 15(2), pages 259-296, June.
  265. Per B. Solibakke, 2022. "Step‐ahead spot price densities using daily synchronously reported prices and wind forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 17-42, January.
  266. Fichtner, Stephan & Meyr, Herbert, 2019. "Biogas plant optimization by increasing its exibility considering uncertain revenues," Hohenheim Discussion Papers in Business, Economics and Social Sciences 07-2019, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
  267. Habib Akbari-Alashti & Omid Bozorg Haddad & Miguel Mariño, 2015. "Evaluation of a Developed Discrete Time-Series Method in Flow Forecasting Models," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 29(9), pages 3211-3225, July.
  268. Jurado, Sergio & Nebot, Àngela & Mugica, Fransisco & Avellana, Narcís, 2015. "Hybrid methodologies for electricity load forecasting: Entropy-based feature selection with machine learning and soft computing techniques," Energy, Elsevier, vol. 86(C), pages 276-291.
  269. Papaioannou, George P. & Dikaiakos, Christos & Dagoumas, Athanasios S. & Dramountanis, Anargyros & Papaioannou, Panagiotis G., 2018. "Detecting the impact of fundamentals and regulatory reforms on the Greek wholesale electricity market using a SARMAX/GARCH model," Energy, Elsevier, vol. 142(C), pages 1083-1103.
  270. González-Pedraz, Carlos & Moreno, Manuel & Peña, Juan Ignacio, 2014. "Tail risk in energy portfolios," Energy Economics, Elsevier, vol. 46(C), pages 422-434.
  271. George P. Papaioannou & Christos Dikaiakos & Anargyros Dramountanis & Panagiotis G. Papaioannou, 2016. "Analysis and Modeling for Short- to Medium-Term Load Forecasting Using a Hybrid Manifold Learning Principal Component Model and Comparison with Classical Statistical Models (SARIMAX, Exponential Smoot," Energies, MDPI, vol. 9(8), pages 1-40, August.
  272. Obermüller, Frank, 2017. "Explaining Electricity Forward Premiums - Evidence for the Weather Uncertainty Effect," EWI Working Papers 2017-10, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI).
  273. Bordignon, Silvano & Bunn, Derek W. & Lisi, Francesco & Nan, Fany, 2013. "Combining day-ahead forecasts for British electricity prices," Energy Economics, Elsevier, vol. 35(C), pages 88-103.
  274. Kalantzis, Fotis G. & Milonas, Nikolaos T., 2013. "Analyzing the impact of futures trading on spot price volatility: Evidence from the spot electricity market in France and Germany," Energy Economics, Elsevier, vol. 36(C), pages 454-463.
  275. Bidong Liu & Jiali Liu & Tao Hong, 2015. "Sister models for load forecast combination," HSC Research Reports HSC/15/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  276. Bello, Antonio & Reneses, Javier & Muñoz, Antonio & Delgadillo, Andrés, 2016. "Probabilistic forecasting of hourly electricity prices in the medium-term using spatial interpolation techniques," International Journal of Forecasting, Elsevier, vol. 32(3), pages 966-980.
  277. Keles, Dogan & Scelle, Jonathan & Paraschiv, Florentina & Fichtner, Wolf, 2016. "Extended forecast methods for day-ahead electricity spot prices applying artificial neural networks," Applied Energy, Elsevier, vol. 162(C), pages 218-230.
  278. Hong, Tao & Fan, Shu, 2016. "Probabilistic electric load forecasting: A tutorial review," International Journal of Forecasting, Elsevier, vol. 32(3), pages 914-938.
  279. Trueck, Stefan & Weron, Rafal & Wolff, Rodney, 2007. "Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices," MPRA Paper 4711, University Library of Munich, Germany.
  280. Souhir Ben Amor & Heni Boubaker & Lotfi Belkacem, 2022. "A Dual Generalized Long Memory Modelling for Forecasting Electricity Spot Price: Neural Network and Wavelet Estimate," Papers 2204.08289, arXiv.org.
  281. 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.
  282. Johannes Mauritzen, 2013. "Dead Battery? Wind Power, the Spot Market, and Hydropower Interaction in the Nordic Electricity Market," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1).
  283. Kracík, Jiří & Lavička, Hynek, 2016. "Fluctuation analysis of high frequency electric power load in the Czech Republic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 951-961.
  284. Souhir Ben Amor & Heni Boubaker & Lotfi Belkacem, 2022. "Predictive Accuracy of a Hybrid Generalized Long Memory Model for Short Term Electricity Price Forecasting," Papers 2204.09568, arXiv.org.
  285. 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.
  286. G. P. Girish & S. Vijayalakshmi, 2015. "Role of Energy Exchanges for Power Trading in India," International Journal of Energy Economics and Policy, Econjournals, vol. 5(3), pages 673-676.
  287. Rafati, Amir & Joorabian, Mahmood & Mashhour, Elaheh, 2020. "An efficient hour-ahead electrical load forecasting method based on innovative features," Energy, Elsevier, vol. 201(C).
  288. Sreedharan, P. & Miller, D. & Price, S. & Woo, C.K., 2012. "Avoided cost estimation and cost-effectiveness of permanent load shifting in California," Applied Energy, Elsevier, vol. 96(C), pages 115-121.
  289. Debbie Dupuis, Geneviève Gauthier, and Fréderic Godin, 2016. "Short-term Hedging for an Electricity Retailer," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
  290. Roman Rodriguez-Aguilar & Jose Antonio Marmolejo-Saucedo & Brenda Retana-Blanco, 2019. "Prices of Mexican Wholesale Electricity Market: An Application of Alpha-Stable Regression," Sustainability, MDPI, vol. 11(11), pages 1-14, June.
  291. Goia, Aldo, 2012. "A functional linear model for time series prediction with exogenous variables," Statistics & Probability Letters, Elsevier, vol. 82(5), pages 1005-1011.
  292. Hain, Martin & Kargus, Tobias & Schermeyer, Hans & Uhrig-Homburg, Marliese & Fichtner, Wolf, 2022. "An electricity price modeling framework for renewable-dominant markets," Working Paper Series in Production and Energy 66, Karlsruhe Institute of Technology (KIT), Institute for Industrial Production (IIP).
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.