Component estimation for electricity market data: Deterministic or stochastic?
Francesco Lisi and
Matteo Pelagatti ()
Energy Economics, 2018, vol. 74, issue C, 13-37
Electricity market time series include several systematic components describing the long-term dynamics, the annual, weekly and daily periodicities, calendar effects, jumps, etc. As a result, modelling electricity variables requires the estimation of these components. For this purpose two main approaches have been proposed in the literature: the deterministic and the stochastic. Although an inappropriate modelling of systematic components could have important consequences on the prediction of loads and prices, in the literature it has not yet been assessed, which approach is more appropriate for electricity markets time series.
Keywords: Electricity loads; Electricity prices; Component estimation; Nord Pool electricity market; Italian electricity market; British electricity market; Pennsylvania-New Jersey-Maryland electricity market (search for similar items in EconPapers)
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