SNDE06_EXAMPLE: MATLAB codes and data for "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models"

Adam Misiorek, Stefan Trueck () and Rafał Weron

HSC Software from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: This set of Matlab codes illustrates the concepts and methods presented in A. Misiorek, S. Trück, R. Weron (2006) Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models, Studies in Nonlinear Dynamics and Econometrics 10(3), Article 2 (http://dx.doi.org/10.2202/1558-3708.1362). For sample use see the readme.txt file.

Language: MATLAB
Requires: MATLAB.
Keywords: Electricity spot price; Forecasting; Autoregression; Regime-switching. (search for similar items in EconPapers)
Date: 2006-07-19
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