Semi-parametric forecasting of spikes in electricity prices
The occurrence of extreme movements in the spot price of electricity represents a significant source of risk to retailers. A range of approaches have been considered with respect to modelling electricity prices; these models, however, have relied on time-series approaches, which typically use restrictive decay schemes placing greater weight on more recent observations. This study develops an alternative, semi-parametric method for forecasting, which uses state-dependent weights derived from a kernel function. The forecasts that are obtained using this method are accurate and therefore potentially useful to electricity retailers in terms of risk management.
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|Item Type:||Journal Article|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
|Copyright Owner:||Copyright 2013 Economic Society of Australia|
|Copyright Statement:||This is the accepted version of the following article: Semi-parametric Forecasting of Spikes in Electricity Prices, Economic Record, Volume 89, Issue 287, pages 508–521, December 2013, which has been published in final form at: http://onlinelibrary.wiley.com/doi/10.1111/1475-4932.12072/abstract|
|Deposited On:||18 Dec 2013 02:25|
|Last Modified:||05 Jan 2015 10:01|
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