Forecasting electricity prices and their volatilities using Unobserved Components

Carolina García-Martos, Julio Rodríguez and María Jesús Sánchez

Energy Economics, 2011, vol. 33, issue 6, 1227-1239

Abstract: The liberalization of electricity markets more than ten years ago in the vast majority of developed countries has introduced the need of modelling and forecasting electricity prices and volatilities, both in the short and long term.

Keywords: Conditional heteroskedasticity; Dynamic factor analysis; Iberian market; Long run; Non-stationary; Short run (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988311001356
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:33:y:2011:i:6:p:1227-1239

DOI: 10.1016/j.eneco.2011.07.005

Access Statistics for this article

Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().