IDEAS home Printed from https://ideas.repec.org/r/eee/eneeco/v35y2013icp88-103.html

Combining day-ahead forecasts for British electricity prices

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Brusaferri, Alessandro & Matteucci, Matteo & Portolani, Pietro & Vitali, Andrea, 2019. "Bayesian deep learning based method for probabilistic forecast of day-ahead electricity prices," Applied Energy, Elsevier, vol. 250(C), pages 1158-1175.
  2. Özen, Kadir & Yıldırım, Dilem, 2021. "Application of bagging in day-ahead electricity price forecasting and factor augmentation," Energy Economics, Elsevier, vol. 103(C).
  3. Umut Ugurlu & Oktay Tas & Aycan Kaya & Ilkay Oksuz, 2018. "The Financial Effect of the Electricity Price Forecasts’ Inaccuracy on a Hydro-Based Generation Company," Energies, MDPI, vol. 11(8), pages 1-19, August.
  4. Vijay, Avinash & Fouquet, Nicolas & Staffell, Iain & Hawkes, Adam, 2017. "The value of electricity and reserve services in low carbon electricity systems," Applied Energy, Elsevier, vol. 201(C), pages 111-123.
  5. Afanasyev, Dmitriy & Fedorova, Elena, 2015. "The long-term trends on Russian electricity market: comparison of empirical mode and wavelet decompositions," MPRA Paper 62391, University Library of Munich, Germany.
  6. Florian Ziel & Rick Steinert & Sven Husmann, 2015. "Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets," Papers 1501.00818, arXiv.org, revised Dec 2015.
  7. Arthur Thomas & Olivier Massol & Benoît Sévi, 2019. "How are day-ahead prices informative for predicting the next day’s consumption of natural gas?," Post-Print hal-04319396, HAL.
  8. Nowotarski, Jakub & Raviv, Eran & Trück, Stefan & Weron, Rafał, 2014. "An empirical comparison of alternative schemes for combining electricity spot price forecasts," Energy Economics, Elsevier, vol. 46(C), pages 395-412.
  9. Weron, Rafał & Zator, Michał, 2015. "A note on using the Hodrick–Prescott filter in electricity markets," Energy Economics, Elsevier, vol. 48(C), pages 1-6.
  10. Marin Cerjan & Ana Petričić & Marko Delimar, 2019. "HIRA Model for Short-Term Electricity Price Forecasting," Energies, MDPI, vol. 12(3), pages 1-32, February.
  11. 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.
  12. Figueiredo, Nuno Carvalho & Silva, Patrícia Pereira da & Bunn, Derek, 2016. "Weather and market specificities in the regional transmission of renewable energy price effects," Energy, Elsevier, vol. 114(C), pages 188-200.
  13. Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2015. "Electricity derivatives pricing with forward-looking information," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 34-57.
  14. Katarzyna Maciejowska & Rafał Weron, 2015. "Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships," Computational Statistics, Springer, vol. 30(3), pages 805-819, September.
  15. Cerasa, Andrea & Zani, Alessandro, 2025. "Enhancing electricity price forecasting accuracy: A novel filtering strategy for improved out-of-sample predictions," Applied Energy, Elsevier, vol. 383(C).
  16. repec:dau:papers:123456789/15247 is not listed on IDEAS
  17. Lago, Jesus & Marcjasz, Grzegorz & De Schutter, Bart & Weron, Rafał, 2021. "Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark," Applied Energy, Elsevier, vol. 293(C).
  18. Berrisch, Jonathan & Ziel, Florian, 2024. "Multivariate probabilistic CRPS learning with an application to day-ahead electricity prices," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1568-1586.
  19. Jakub Nowotarski, 2013. "Short-term forecasting of electricity spot prices using model averaging (Krótkoterminowe prognozowanie spotowych cen energii elektrycznej z wykorzystaniem uśredniania modeli)," HSC Research Reports HSC/13/17, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  20. Bacci, Livio Agnew & Mello, Luiz Gustavo & Incerti, Taynara & Paulo de Paiva, Anderson & Balestrassi, Pedro Paulo, 2019. "Optimization of combined time series methods to forecast the demand for coffee in Brazil: A new approach using Normal Boundary Intersection coupled with mixture designs of experiments and rotated factor scores," International Journal of Production Economics, Elsevier, vol. 212(C), pages 186-211.
  21. Alonso Fernández, Andrés Modesto & Bastos, Guadalupe & García-Martos, Carolina, 2017. "Electricity prices forecasting by averaging dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS 24028, Universidad Carlos III de Madrid. Departamento de Estadística.
  22. Jinbo Cai & Wenze Li & Wenjie Wang, 2025. "Electricity Market Predictability: Virtues of Machine Learning and Links to the Macroeconomy," Papers 2507.07477, arXiv.org.
  23. Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafał, 2013. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," Energy Economics, Elsevier, vol. 39(C), pages 13-27.
  24. Billé, Anna Gloria & Gianfreda, Angelica & Del Grosso, Filippo & Ravazzolo, Francesco, 2023. "Forecasting electricity prices with expert, linear, and nonlinear models," International Journal of Forecasting, Elsevier, vol. 39(2), pages 570-586.
  25. Uniejewski, Bartosz & Marcjasz, Grzegorz & Weron, Rafał, 2019. "On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting," Energy Economics, Elsevier, vol. 79(C), pages 171-182.
  26. Florian Ziel & Rick Steinert & Sven Husmann, 2014. "Efficient Modeling and Forecasting of the Electricity Spot Price," Papers 1402.7027, arXiv.org, revised Oct 2014.
  27. Andrés M. Alonso & Guadalupe Bastos & Carolina García-Martos, 2016. "Electricity Price Forecasting by Averaging Dynamic Factor Models," Energies, MDPI, vol. 9(8), pages 1-21, July.
  28. Marie Bessec & Julien Fouquau & Sophie Meritet, 2016. "Forecasting electricity spot prices using time-series models with a double temporal segmentation," Applied Economics, Taylor & Francis Journals, vol. 48(5), pages 361-378, January.
  29. Ismail Shah & Hasnain Iftikhar & Sajid Ali & Depeng Wang, 2019. "Short-Term Electricity Demand Forecasting Using Components Estimation Technique," Energies, MDPI, vol. 12(13), pages 1-17, July.
  30. Jonathan Berrisch & Florian Ziel, 2023. "Multivariate Probabilistic CRPS Learning with an Application to Day-Ahead Electricity Prices," Papers 2303.10019, arXiv.org, revised Feb 2024.
  31. Rodrigo A. de Marcos & Antonio Bello & Javier Reneses, 2019. "Short-Term Electricity Price Forecasting with a Composite Fundamental-Econometric Hybrid Methodology," Energies, MDPI, vol. 12(6), pages 1-15, March.
  32. Thao Pham & Killian Lemoine, 2020. "Impacts of subsidized renewable electricity generation on spot market prices in Germany : Evidence from a GARCH model with panel data," Working Papers hal-02568268, HAL.
  33. Nowotarski, Jakub & Weron, Rafał, 2016. "On the importance of the long-term seasonal component in day-ahead electricity price forecasting," Energy Economics, Elsevier, vol. 57(C), pages 228-235.
  34. Luigi Grossi & Fany Nan, 2017. "Forecasting electricity prices through robust nonlinear models," Working Papers 06/2017, University of Verona, Department of Economics.
  35. Grzegorz Marcjasz & Bartosz Uniejewski & Rafal Weron, 2017. "Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models," HSC Research Reports HSC/17/03, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  36. Ioannidis, Filippos & Kosmidou, Kyriaki & Savva, Christos & Theodossiou, Panayiotis, 2021. "Electricity pricing using a periodic GARCH model with conditional skewness and kurtosis components," Energy Economics, Elsevier, vol. 95(C).
  37. Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 2013. "Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices," HSC Research Reports HSC/13/02, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  38. Afanasyev, Dmitriy O. & Fedorova, Elena A., 2019. "On the impact of outlier filtering on the electricity price forecasting accuracy," Applied Energy, Elsevier, vol. 236(C), pages 196-210.
  39. Maciejowska, Katarzyna & Nowotarski, Jakub, 2016. "A hybrid model for GEFCom2014 probabilistic electricity price forecasting," International Journal of Forecasting, Elsevier, vol. 32(3), pages 1051-1056.
  40. Avci, Ezgi & Ketter, Wolfgang & van Heck, Eric, 2018. "Managing electricity price modeling risk via ensemble forecasting: The case of Turkey," Energy Policy, Elsevier, vol. 123(C), pages 390-403.
  41. Jakub Nowotarski & Rafal Weron, 2016. "To combine or not to combine? Recent trends in electricity price forecasting," HSC Research Reports HSC/16/01, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  42. Kath, Christopher & Ziel, Florian, 2021. "Conformal prediction interval estimation and applications to day-ahead and intraday power markets," International Journal of Forecasting, Elsevier, vol. 37(2), pages 777-799.
  43. Cornell, Cameron & Dinh, Nam Trong & Pourmousavi, S. Ali, 2024. "A probabilistic forecast methodology for volatile electricity prices in the Australian National Electricity Market," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1421-1437.
  44. Bartosz Uniejewski & Jakub Nowotarski & Rafał Weron, 2016. "Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting," Energies, MDPI, vol. 9(8), pages 1-22, August.
  45. Grzegorz Marcjasz & Tomasz Serafin & Rafał Weron, 2018. "Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting," Energies, MDPI, vol. 11(9), pages 1-20, September.
  46. He, Miao & Jiang, Weiwei & Gu, Weixi, 2024. "TriChronoNet: Advancing electricity price prediction with Multi-module fusion," Applied Energy, Elsevier, vol. 371(C).
  47. Christopher Kath & Florian Ziel, 2018. "The value of forecasts: Quantifying the economic gains of accurate quarter-hourly electricity price forecasts," Papers 1811.08604, arXiv.org.
  48. Ping Jiang & Feng Liu & Yiliao Song, 2016. "A Hybrid Multi-Step Model for Forecasting Day-Ahead Electricity Price Based on Optimization, Fuzzy Logic and Model Selection," Energies, MDPI, vol. 9(8), pages 1-27, August.
  49. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
    • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
  50. Claudio Monteiro & L. Alfredo Fernandez-Jimenez & Ignacio J. Ramirez-Rosado, 2015. "Explanatory Information Analysis for Day-Ahead Price Forecasting in the Iberian Electricity Market," Energies, MDPI, vol. 8(9), pages 1-23, September.
  51. Marcjasz, Grzegorz & Uniejewski, Bartosz & Weron, Rafał, 2019. "On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1520-1532.
  52. Sergei Kulakov, 2020. "X-Model: Further Development and Possible Modifications," Forecasting, MDPI, vol. 2(1), pages 1-16, February.
  53. Lu, Xinhui & Liu, Zhaoxi & Ma, Li & Wang, Lingfeng & Zhou, Kaile & Feng, Nanping, 2020. "A robust optimization approach for optimal load dispatch of community energy hub," Applied Energy, Elsevier, vol. 259(C).
  54. Mauro Bernardi & Francesco Lisi, 2020. "Point and Interval Forecasting of Zonal Electricity Prices and Demand Using Heteroscedastic Models: The IPEX Case," Energies, MDPI, vol. 13(23), pages 1-34, November.
  55. Mira Watermeyer & Thomas Mobius & Oliver Grothe & Felix Musgens, 2023. "A hybrid model for day-ahead electricity price forecasting: Combining fundamental and stochastic modelling," Papers 2304.09336, arXiv.org.
  56. Nowotarski, Jakub & Liu, Bidong & Weron, Rafał & Hong, Tao, 2016. "Improving short term load forecast accuracy via combining sister forecasts," Energy, Elsevier, vol. 98(C), pages 40-49.
  57. Miguel Pinhão & Miguel Fonseca & Ricardo Covas, 2022. "Electricity Spot Price Forecast by Modelling Supply and Demand Curve," Mathematics, MDPI, vol. 10(12), pages 1-20, June.
  58. Jakub Nowotarski & Rafał Weron, 2015. "Computing electricity spot price prediction intervals using quantile regression and forecast averaging," Computational Statistics, Springer, vol. 30(3), pages 791-803, September.
  59. Hakan Acaroğlu & Fausto Pedro García Márquez, 2021. "Comprehensive Review on Electricity Market Price and Load Forecasting Based on Wind Energy," Energies, MDPI, vol. 14(22), pages 1-23, November.
  60. Bessec, Marie & Fouquau, Julien, 2018. "Short-run electricity load forecasting with combinations of stationary wavelet transforms," European Journal of Operational Research, Elsevier, vol. 264(1), pages 149-164.
  61. repec:dau:papers:123456789/13532 is not listed on IDEAS
  62. Jakub Nowotarski & Rafal Weron, 2014. "Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices," HSC Research Reports HSC/14/03, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  63. Jasiński, Tomasz, 2020. "Use of new variables based on air temperature for forecasting day-ahead spot electricity prices using deep neural networks: A new approach," Energy, Elsevier, vol. 213(C).
  64. Weron, Rafał, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," International Journal of Forecasting, Elsevier, vol. 30(4), pages 1030-1081.
  65. 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 Science and Technology.
  66. Rick Steinert & Florian Ziel, 2018. "Short- to Mid-term Day-Ahead Electricity Price Forecasting Using Futures," Papers 1801.10583, arXiv.org.
  67. Luigi Grossi & Fany Nan, 2018. "The influence of renewables on electricity price forecasting: a robust approach," Working Papers 2018/10, Institut d'Economia de Barcelona (IEB).
  68. Umut Ugurlu & Ilkay Oksuz & Oktay Tas, 2018. "Electricity Price Forecasting Using Recurrent Neural Networks," Energies, MDPI, vol. 11(5), pages 1-23, May.
  69. Arkadiusz Jędrzejewski & Grzegorz Marcjasz & Rafał Weron, 2021. "Importance of the Long-Term Seasonal Component in Day-Ahead Electricity Price Forecasting Revisited: Parameter-Rich Models Estimated via the LASSO," Energies, MDPI, vol. 14(11), pages 1-17, June.
  70. Kath, Christopher & Ziel, Florian, 2018. "The value of forecasts: Quantifying the economic gains of accurate quarter-hourly electricity price forecasts," Energy Economics, Elsevier, vol. 76(C), pages 411-423.
  71. Emrah Gulay & Serkan Aras, 2024. "Does a meta-combining method lead to more accurate forecasts in the decision-making process?," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 34(3), pages 101-124.
  72. Rafal Weron & Florian Ziel, 2018. "Electricity price forecasting," HSC Research Reports HSC/18/08, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  73. Claudio Monteiro & Ignacio J. Ramirez-Rosado & L. Alfredo Fernandez-Jimenez, 2018. "Probabilistic Electricity Price Forecasting Models by Aggregation of Competitive Predictors," Energies, MDPI, vol. 11(5), pages 1-25, April.
  74. repec:aen:journl:ej37-1-bunn is not listed on IDEAS
  75. Maciejowska, Katarzyna & Nowotarski, Jakub & Weron, Rafał, 2016. "Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging," International Journal of Forecasting, Elsevier, vol. 32(3), pages 957-965.
  76. Mirakyan, Atom & Meyer-Renschhausen, Martin & Koch, Andreas, 2017. "Composite forecasting approach, application for next-day electricity price forecasting," Energy Economics, Elsevier, vol. 66(C), pages 228-237.
  77. Ziel, Florian & Steinert, Rick & Husmann, Sven, 2015. "Efficient modeling and forecasting of electricity spot prices," Energy Economics, Elsevier, vol. 47(C), pages 98-111.
  78. Agakishiev, Ilyas & Härdle, Wolfgang Karl & Kopa, Milos & Kozmik, Karel & Petukhina, Alla, 2025. "Multivariate probabilistic forecasting of electricity prices with trading applications," Energy Economics, Elsevier, vol. 141(C).
  79. Grossi, Luigi & Nan, Fany, 2019. "Robust forecasting of electricity prices: Simulations, models and the impact of renewable sources," Technological Forecasting and Social Change, Elsevier, vol. 141(C), pages 305-318.
  80. Huang, Yujun, 2024. "Do ESG ETFs provide downside risk protection during Covid-19? Evidence from forecast combination models," International Review of Financial Analysis, Elsevier, vol. 94(C).
  81. Alessandra Amendola & Vincenzo Candila & Antonio Naimoli & Giuseppe Storti, 2024. "Combining Value-at-Risk and Expected Shortfall forecasts via the Model Confidence Set," Papers 2406.06235, arXiv.org, revised Feb 2026.
  82. Silvia Golia & Luigi Grossi & Matteo Pelagatti, 2022. "Machine Learning Models and Intra-Daily Market Information for the Prediction of Italian Electricity Prices," Forecasting, MDPI, vol. 5(1), pages 1-21, December.
  83. Hollyman, Ross & Petropoulos, Fotios & Tipping, Michael E., 2021. "Understanding forecast reconciliation," European Journal of Operational Research, Elsevier, vol. 294(1), pages 149-160.
  84. Marcjasz, Grzegorz & Narajewski, Michał & Weron, Rafał & Ziel, Florian, 2023. "Distributional neural networks for electricity price forecasting," Energy Economics, Elsevier, vol. 125(C).
  85. Antonio Bello & Derek Bunn & Javier Reneses & Antonio Muñoz, 2016. "Parametric Density Recalibration of a Fundamental Market Model to Forecast Electricity Prices," Energies, MDPI, vol. 9(11), pages 1-15, November.
  86. Lisi, Francesco & Nan, Fany, 2014. "Component estimation for electricity prices: Procedures and comparisons," Energy Economics, Elsevier, vol. 44(C), pages 143-159.
  87. Wei Qian & Craig A. Rolling & Gang Cheng & Yuhong Yang, 2019. "On the Forecast Combination Puzzle," Econometrics, MDPI, vol. 7(3), pages 1-26, September.
  88. Florian Ziel, 2015. "Forecasting Electricity Spot Prices using Lasso: On Capturing the Autoregressive Intraday Structure," Papers 1509.01966, arXiv.org, revised Jan 2016.
  89. Ziel, Florian & Weron, Rafał, 2018. "Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks," Energy Economics, Elsevier, vol. 70(C), pages 396-420.
  90. Ziel, Florian & Steinert, Rick & Husmann, Sven, 2015. "Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets," Energy Economics, Elsevier, vol. 51(C), pages 430-444.
  91. Katarzyna Maciejowska & Bartosz Uniejewski & Rafa{l} Weron, 2022. "Forecasting Electricity Prices," Papers 2204.11735, arXiv.org.
  92. Afanasyev, Dmitriy O. & Fedorova, Elena A., 2016. "The long-term trends on the electricity markets: Comparison of empirical mode and wavelet decompositions," Energy Economics, Elsevier, vol. 56(C), pages 432-442.
  93. Martina Assereto & Julie Byrne, 2020. "The Implications of Policy Uncertainty on Solar Photovoltaic Investment," Energies, MDPI, vol. 13(23), pages 1-20, November.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.