Short term forecasting of electricity prices for MISO hubs: Evidence from ARIMA-EGARCH models

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An empirical comparison of alternate regime-switching models or electricity spot prices (2010, result): “…with the ‘level of heteroscedasticity’ or the ‘degree of inverse leverage’ measured by the parameter γ, led us to the conclusion that the IS 3-regime model is consistent with the ‘inverse leverage effect’ reported for spot electricity prices (Bowden and Payne, 2008; Knittel and Roberts, 2005).”
Forecasting of CO2 emissions, energy consumption and economic growth in China using an improved grey model (2012, methodology): “The univariate BoxeJenkins ARIMA [23] analysis has beenwidely used for modelling and forecasting in many energy, environmental, financial, and engineering applications [24,25].”
Prediction intervals in conditionally heteroscedastic time series with stochastic components (2011, background): “Even more recently, Bowden and Payne (2008) and Payne (2009) considered similar models for electricity prices and Thailand inflation, respectively.”
Efficient modeling and forecasting of electricity spot prices (2014, unknown): “This was later acknowledged for instance by Bowden and Payne (2008) and Liu and Shi (2013).”
Electricity price forecasting using sale and purchase curves: The X-Model (2015, methodology): “In the area of time series models the usage of speciﬁc heteroscedastic models for the variance of the process are typical (e.g. Bowden and Payne (2008), Liu and Shi (2013)).”