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Robust estimation and forecasting of the long-term seasonal component of electricity spot prices

  • Nowotarski, Jakub
  • Tomczyk, Jakub
  • Weron, Rafał

We present the results of an extensive study on estimation and forecasting of the long-term seasonal component (LTSC) of electricity spot prices. We consider a battery of over 300 models, including monthly dummies and models based on Fourier or wavelet decomposition combined with linear or exponential decay. We find that the considered wavelet-based models are significantly better in terms of forecasting spot prices up to a year ahead than the commonly used monthly dummies and sine-based models. This result questions the validity and usefulness of stochastic models of spot electricity prices built on the latter two types of LTSC models.

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Article provided by Elsevier in its journal Energy Economics.

Volume (Year): 39 (2013)
Issue (Month): C ()
Pages: 13-27

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Handle: RePEc:eee:eneeco:v:39:y:2013:i:c:p:13-27
Contact details of provider: Web page: http://www.elsevier.com/locate/eneco

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