Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models
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- 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.
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More about this item
KeywordsElectricity market; Price forecast; Autoregressive model; Nonparametric maximum likelihood; Interval forecast; Conditional coverage;
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ENE-2008-09-20 (Energy Economics)
- NEP-FOR-2008-09-20 (Forecasting)
- NEP-ORE-2008-09-20 (Operations Research)
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