Nan, Fany and Bordignon, Silvano and Bunn, Derek W. and Lisi, Francesco (2010) The Forecasting Accuracy of Electricity Price Formation Models. [Working Paper] WORKING PAPER SERIES, 4/2010 . , PADOVA (Inedito)
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In this paper we present an extensive comparison of four different classes of models for daily forecasting of spot electricity prices, including ARMAX, constant and time-varying parameter regression models as well as non linear Markov regime-switching regressions. They are selected for particular reasons related to the emerging body of research on the price formation processes observed in electricity markets. The analyses are conducted for representative trading periods of the day in the UK Power Exchange prompt market, with the price series adjusted for their deterministic components and spikes.
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