Short-term electricity price forecasting with time series models: A review and evaluation
We investigate the forecasting power of different time series models for electricity spot prices. The models include different specifications of linear autoregressive time series with heteroscedastic noise and/or additional fundamental variables and non-linear regime-switching TAR-type models. The models are tested on a time series of hourly system prices and loads from the California power market. Data from the period July 5, 1999 - April 2, 2000 are used for calibration and from the period April 3 - December 3, 2000 for out-of-sample testing.
|Date of creation:||2006|
|Date of revision:|
|Publication status:||Published in "Complex Electricity Markets", ed. W. Mielczarski, Chapter 10, 231-254 (2006).|
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Web page: http://prac.im.pwr.wroc.pl/~hugo
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