Short-term forecasting of electricity spot prices using model averaging (Krótkoterminowe prognozowanie spotowych cen energii elektrycznej z wykorzystaniem uśredniania modeli)

Jakub Nowotarski

No HSC/13/17, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: The focus of this Master Thesis is on model (forecast) averaging as applied to electricity spot prices. In Chap. 2 we review the stylized facts of electricity spot prices. Then in Chap. 3 we discuss the time series models that are used in Chap. 4 as inputs to the forecast averaging schemes. Finally, in Chap. 5 we wrap up the results and conclude.

Keywords: Electricity price forecasting; Forecast combination; ARX model; Day-ahead market (search for similar items in EconPapers)
JEL-codes: C22 C52 C53 Q47 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2013-12-31
New Economics Papers: this item is included in nep-ene
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