Selection of calibration windows for day-ahead electricity price forecasting
Grzegorz Marcjasz (),
Tomasz Serafin and
Rafał Weron ()
No HSC/18/06, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Technology
We conduct an extensive empirical study on the selection of calibration windows for day-ahead electricity price forecasting, which involves 6-year long datasets from three major power markets and four autoregressive expert models fitted either to raw or transformed prices. Since the variability of prediction errors across windows of different lengths and across datasets can be substantial, selecting ex-ante one window is risky. Instead, we argue that averaging forecasts across different calibration windows is a robust alternative and introduce a new, well-performing weighting scheme for averaging these forecasts.
Keywords: Electricity price forecasting; Forecast averaging; Calibration window; Autoregression; Variance stabilizing transformation; Conditional predictive ability (search for similar items in EconPapers)
JEL-codes: C14 C22 C51 C53 Q47 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-big, nep-ene, nep-for and nep-reg
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Published in Energies 11.9 (2018) 2364, https://doi.org/10.3390/en11092364)
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Journal Article: Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:wuu:wpaper:hsc1806
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