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Density forecasting for the efficient balancing of the generation and consumption of electricity

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  • Taylor, James W.

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  • Taylor, James W., 2006. "Density forecasting for the efficient balancing of the generation and consumption of electricity," International Journal of Forecasting, Elsevier, vol. 22(4), pages 707-724.
    • Handle: RePEc:eee:intfor:v:22:y:2006:i:4:p:707-724
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    1. Bollerslev, Tim & Ghysels, Eric, 1996. "Periodic Autoregressive Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 139-151, April.
    2. Osborn, Denise R, et al, 1988. "Seasonality and the Order of Integration for Consumption," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 50(4), pages 361-377, November.
    3. Hyndman, Rob J. & Koehler, Anne B. & Snyder, Ralph D. & Grose, Simone, 2002. "A state space framework for automatic forecasting using exponential smoothing methods," International Journal of Forecasting, Elsevier, vol. 18(3), pages 439-454.
    4. Gallant, A. Ronald, 1981. "On the bias in flexible functional forms and an essentially unbiased form : The fourier flexible form," Journal of Econometrics, Elsevier, vol. 15(2), pages 211-245, February.
    5. Diebold, Francis X & Gunther, Todd A & Tay, Anthony S, 1998. "Evaluating Density Forecasts with Applications to Financial Risk Management," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 863-883, November.
    6. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
    7. Franses, Philip Hans & Paap, Richard, 2004. "Periodic Time Series Models," OUP Catalogue, Oxford University Press, number 9780199242030.
    8. Ghysels,Eric & Osborn,Denise R., 2001. "The Econometric Analysis of Seasonal Time Series," Cambridge Books, Cambridge University Press, number 9780521565882, September.
    9. Christoffersen, Peter F, 1998. "Evaluating Interval Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 841-862, November.
    10. Hans Franses, Philip & Romijn, Gerbert, 1993. "Periodic integration in quarterly UK macroeconomic variables," International Journal of Forecasting, Elsevier, vol. 9(4), pages 467-476, December.
    11. Taylor, James W. & de Menezes, Lilian M. & McSharry, Patrick E., 2006. "A comparison of univariate methods for forecasting electricity demand up to a day ahead," International Journal of Forecasting, Elsevier, vol. 22(1), pages 1-16.
    12. 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, vol. 16(1), pages 71-83.
    13. Philip Hans Franses & Richard Paap, 2000. "Modelling day-of-the-week seasonality in the S&P 500 index," Applied Financial Economics, Taylor & Francis Journals, vol. 10(5), pages 483-488.
    14. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    15. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-547, August.
    16. Martin Martens & Yuan‐Chen Chang & Stephen J. Taylor, 2002. "A Comparison of Seasonal Adjustment Methods When Forecasting Intraday Volatility," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 25(2), pages 283-299, June.
    17. J W Taylor, 2003. "Short-term electricity demand forecasting using double seasonal exponential smoothing," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 54(8), pages 799-805, August.
    18. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:

    1. Aknouche, Abdelhakim & Guerbyenne, Hafida, 2009. "Periodic stationarity of random coefficient periodic autoregressions," Statistics & Probability Letters, Elsevier, vol. 79(7), pages 990-996, April.
    2. 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.
    3. Sinan Deng & John Inekwe & Vladimir Smirnov & Andrew Wait & Chao Wang, 2023. "Machine Learning and Deep Learning Forecasts of Electricity Imbalance Prices," Working Papers 2023-03, University of Sydney, School of Economics.
    4. Abdelhakim Aknouche & Eid Al-Eid, 2012. "Asymptotic inference of unstable periodic ARCH processes," Statistical Inference for Stochastic Processes, Springer, vol. 15(1), pages 61-79, April.
    5. Abdelhakim Aknouche, 2017. "Periodic autoregressive stochastic volatility," Statistical Inference for Stochastic Processes, Springer, vol. 20(2), pages 139-177, July.
    6. Abdelhakim Aknouche & Abdelouahab Bibi, 2009. "Quasi‐maximum likelihood estimation of periodic GARCH and periodic ARMA‐GARCH processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 19-46, January.
    7. Caiado, Jorge, 2007. "Forecasting water consumption in Spain using univariate time series models," MPRA Paper 6610, University Library of Munich, Germany.
    8. repec:qut:auncer:wp103 is not listed on IDEAS
    9. Aknouche, Abdelhakim, 2013. "Periodic autoregressive stochastic volatility," MPRA Paper 69571, University Library of Munich, Germany, revised 2015.
    10. 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.
    11. Aknouche, Abdelhakim & Al-Eid, Eid & Demouche, Nacer, 2016. "Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models," MPRA Paper 75770, University Library of Munich, Germany, revised 19 Dec 2016.
    12. Sigauke, C. & Chikobvu, D., 2011. "Prediction of daily peak electricity demand in South Africa using volatility forecasting models," Energy Economics, Elsevier, vol. 33(5), pages 882-888, September.
    13. Aknouche, Abdelhakim & Guerbyenne, Hafida, 2009. "On some probabilistic properties of double periodic AR models," Statistics & Probability Letters, Elsevier, vol. 79(3), pages 407-413, February.
    14. 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.
    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, vol. 24(4), pages 603-615.
    16. Abdelhakim Aknouche & Eid Al-Eid & Nacer Demouche, 2018. "Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models," Statistical Inference for Stochastic Processes, Springer, vol. 21(3), pages 485-511, October.

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