Forecasting Wholesale Electricity Prices: A Review of Time Series Models

Rafał Weron

Chapter 5 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2009, vol. 7, pp 71-82 from University of Lodz

Abstract: An empirical interest of Chapter 5 is focused on short-term forecasting of high frequency wholesale electricity prices. Weron compares the performance of several autoregressive models with seasonal patterns and different assumptions on distribution of error term (GARCH heteroskedastic, heavy-tailed, and semi-parametric). He finds mixed evidence of their forecasting power as far as prediction intervals are considered.

Keywords: Time series models; Forecasting wholesale electricity prices; Autoregressive models; High frequency data (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2009
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Working Paper: Forecasting wholesale electricity prices: A review of time series models (2009)
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