Periodic Seasonal Reg-ARFIMA–GARCH Models for Daily Electricity Spot Prices

By S. J. Koopman, Marius Ooms, M. A. Carnero. 2007

281 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Electrical and Electronic Engineering

View Paper: https://www.semanticscholar.org/paper/4cadd1093e651966b8a3ff6cc3a14579c695f513

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Citations in the corpus

Modelling energy spot prices by volatility modulated Levy-driven Volterra processes (2013, background): “Volatility clusters are often found in energy prices, see, for example, Hikspoors and Jaimungal [50], Trolle and Schwartz [64], Benth [22], Benth and Vos [26], Koopman, Ooms and Carnero [55], Veraart and Veraart [65].”
Electricity prices, large-scale renewable integration, and policy implications (2017, background): “Finally, mean reversion is another specific characteristic of electricity prices, mainly driven by weather conditions (Koopman et al., 2007); it refers to the tendency of electricity prices to revert to a long-run level reflecting the long-run cost of electricity generation.”
Modeling and forecasting electricity spot prices: A functional data perspective (2013, methodology): “However, classical time series models adopted for electricity spot prices such as autoregressive, jump diffusion or Markov regime switch models reduce the multivariate time series to univariate time series either by taking daily averages of the 24 hourly spot prices [Weron, Bierbrauer and Trück (200”
Short-Term Load Forecasting Methods: An Evaluation Based on European Data (2007, unknown): “[15]). In the electricity context, periodic models have been considered with some success in studies investigating methods for forecasting intraday net imbalance volume [4] and daily electricity spot prices [ 16 ].”
Efficient modeling and forecasting of electricity spot prices (2014, unknown): “A related approach was also used by Koopman et al. (2007) and Bosco et al. (2007) for modeling daily electricity prices, and by Guthrie and Videbeck (2007) for intra-day prices.”