Improving electricity market price forecasting with factor models for the optimal generation bid

DOI10.1111/INSR.12014zbMATH Open1418.91397OpenAlexW1603504606MaRDI QIDQ4968568FDOQ4968568

Authors: M. Pilar Muñoz, Cristina Corchero, F. J. Heredia 

Publication date: 16 July 2019

Published in: International Statistical Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/insr.12014

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zbMATH Keywords

factor modelsstochastic programmingshort-term forecastingelectricity market pricesprice scenarios

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Stochastic programming (90C15) Stochastic models in economics (91B70)

Cited In (11)

• Bayesian estimation of electricity price risk with a multi-factor mixture of densities
• Electricity price forecasting through transfer function models
• Minimising the expectation value of the procurement cost in electricity markets based on the prediction error of energy consumption
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• Title not available (Why is that?)
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