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FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS
Adam Misiorek Econometrics from EconWPA
In this paper we study simple time series models and assess their forecasting performance. In particular we calibrate ARMA and ARMAX (where the exogenous variable is the system load) processes. Models are tested on a time series of California power market system prices and loads from the period proceeding and including the market crash.
Keywords: Electricity; price forecasting; ARMA model; seasonal component (search for similar items in EconPapers)
JEL-codes: C22 C53 L94 Q40 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ene and nep-ets
Note: Type of Document - pdf; pages: 8. To appear in ”The European Electricity Market EEM-05”, Proceedings Volume
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Downloads: (external link) http://18.104.22.168/eps/em/papers/0504/0504001.pdf (application/pdf)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0504001
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