A regime-switching stochastic volatility model for forecasting electricity prices
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- Knapik, Oskar & Exterkate, Peter, 2017. "A regime-switching stochastic volatility model for forecasting electricity prices," Working Papers 2017-02, University of Sydney, School of Economics.
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KeywordsElectricity prices; density forecasting; Markov switching; stochastic volatility; fundamental price drivers; ordered probit model; Bayesian inference; seasonality; Nord Pool power market; electricity prices forecasting; probabilistic forecasting;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
- Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
- Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2017-03-26 (All new papers)
- NEP-ENE-2017-03-26 (Energy Economics)
- NEP-ETS-2017-03-26 (Econometric Time Series)
- NEP-FOR-2017-03-26 (Forecasting)
- NEP-ORE-2017-03-26 (Operations Research)
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