Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models

DOI10.2202/1558-3708.1362MaRDI QIDQ5452741zbMATH OpenOpenAlexFDO

Authors Adam Misiorek, Stefan Trück, Rafał Weron

Publication date 4 April 2008

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://eprints.qut.edu.au/8162/1/8162.pdf

Mathematics Subject Classification ID

Economic time series analysis (91B84) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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• Computing electricity spot price prediction intervals using quantile regression and forecast averaging
• Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships
• Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data
• Directional distance functions and rate-of-return regulation
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