Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships

DOI10.1007/s00180-014-0531-0zbMath1342.65046OpenAlexW2066787140WikidataQ59408419 ScholiaQ59408419MaRDI QIDQ740074

Rafał Weron, Katarzyna Maciejowska

Publication date: 12 August 2016

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-014-0531-0

zbMATH Keywords

forecastingprincipal componentsfactor modelvector autoregressionPJM marketwholesale electricity price

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08)

Related Items

Wavelet estimation for factor models with time-varying loadings ⋮ Loss-based approach to two-piece location-scale distributions with applications to dependent data ⋮ Editorial to the special issue on applicable semiparametrics of computational statistics

Cites Work

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• Modeling and forecasting electricity spot prices: a functional data perspective
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• Time Series Modelling With Semiparametric Factor Dynamics
• Periodic Seasonal Reg-ARFIMA–GARCH Models for Daily Electricity Spot Prices
• Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate
• Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models