Semi-parametric forecasting of spikes in electricity prices

Clements, Adam, Fuller, Joanne, & Hurn, Stan (2013) Semi-parametric forecasting of spikes in electricity prices. Economic Record, 89(287), pp. 508-521.

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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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3 citations in Scopus
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4 citations in Web of Science®

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36 since deposited on 18 Dec 2013
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ID Code: 65264
Item Type: Journal Article
Refereed: Yes
DOI: 10.1111/1475-4932.12072
ISSN: 0013-0249
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:
Deposited On: 18 Dec 2013 02:25
Last Modified: 05 Jan 2015 10:01

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