Short-term forecasting of electricity prices: Do we need a different model for each hour?
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- repec:eee:rensus:v:81:y:2018:i:p1:p:1548-1568 is not listed on IDEAS
- Bartosz Uniejewski & Jakub Nowotarski & Rafał Weron, 2016.
"Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting,"
MDPI, Open Access Journal, vol. 9(8), pages 1-22, August.
- Bartosz Uniejewski & Jakub Nowotarski & Rafal Weron, 2016. "Automated variable selection and shrinkage for day-ahead electricity price forecasting," HSC Research Reports HSC/16/06, Hugo Steinhaus Center, Wroclaw University of Technology.
- Florian Ziel & Rafal Weron, 2016. "Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models," HSC Research Reports HSC/16/08, Hugo Steinhaus Center, Wroclaw University of Technology.
- Nowotarski, Jakub & Weron, Rafał, 2018.
"Recent advances in electricity price forecasting: A review of probabilistic forecasting,"
Renewable and Sustainable Energy Reviews,
Elsevier, vol. 81(P1), pages 1548-1568.
- Jakub Nowotarski & Rafal Weron, 2016. "Recent advances in electricity price forecasting: A review of probabilistic forecasting," HSC Research Reports HSC/16/07, Hugo Steinhaus Center, Wroclaw University of Technology.
More about this item
KeywordsElectricity price forecasting; Autoregression (AR) model; Threshold Autoregression (TAR) model;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
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