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Short-term electricity price forecasting with time series models: A review and evaluation

  • Rafal Weron
  • Adam Misiorek

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.

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File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_06_01.pdf
File Function: Final draft, 2006
Download Restriction: no

Paper provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Research Reports with number HSC/06/01.

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Length: 22 pages
Date of creation: 2006
Date of revision:
Publication status: Published in "Complex Electricity Markets", ed. W. Mielczarski, Chapter 10, 231-254 (2006).
Handle: RePEc:wuu:wpaper:hsc0601
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