Forecasting electricity spot-prices using linear univariate time-series models

Crespo Cuaresma J, Hlouskova J, Kossmeier S, & Obersteiner M (2004). Forecasting electricity spot-prices using linear univariate time-series models. Applied Energy 77 (1): 87-106. DOI:10.1016/S0306-2619(03)00096-5.

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Abstract

This paper studies the forecasting abilities of a battery of univariate models on hourly electricity spot prices, using data from the Leipzig Power Exchange. The specifications studied include autoregressive models, autoregressive-moving average models and unobserved component models. The results show that specifications, where each hour of the day is modelled separately present uniformly better forecasting properties than specifications for the whole time-series, and that the inclusion of simple probabilistic processes for the arrival of extreme price events can lead to improvements in the forecasting abilities of univariate models for electricity spot prices.

Item Type: Article
Uncontrolled Keywords: Electricity spot prices; ARMA models; structural time series models; forecasting
Research Programs: Forestry (FOR)
Bibliographic Reference: Applied Energy; 77(1):87-106 [2004]
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:16
Last Modified: 19 Feb 2016 11:52
URI: http://pure.iiasa.ac.at/7186

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