Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market
In this paper we assess the short-term forecasting power of different time series models in the Nord Pool electricity spot market. We evaluate the accuracy of both point and interval predictions; the latter are specifically important for risk management purposes where one is more interested in predicting intervals for future price movements than simply point estimates. We find evidence that non-linear regime-switching models outperform their linear counterparts and that the interval forecasts of all models are overestimated in the relatively non-volatile periods.
|Date of creation:||2006|
|Date of revision:|
|Publication status:||Published in Proceedings of the Modern Electric Power Systems MEPS'06 International Symposium, September 6-8, 2006, Wrocław, Poland (2006): pp. 34-38|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
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