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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Kovacevic, R.; Wozabal, D. 
Nicht-TUM Koautoren:
ja 
Kooperation:
international 
Titel:
A semiparametric model for electricity spot prices 
Abstract:
This article proposes a semiparametric single-index model for short-term forecasting day-ahead electricity prices. The approach captures the dependency of electricity prices on covariates, such as demand for electricity, amount of energy produced by intermittent sources, and weather-dependent variables. To obtain parsimonious models, principal component analysis is used for dimension reduction. The approach is tested on two data sets from different markets and its performance is analyzed in term...    »
 
Stichworte:
Electricity markets; statistical modeling; price forecasting; generalized linear models; single index models 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
IIE Transactions 
Journal gelistet in FT50 Ranking:
nein 
Jahr:
2014 
Band / Volume:
46 
Heft / Issue:
Seitenangaben Beitrag:
344-356 
Nachgewiesen in:
Scopus; Web of Science 
Sprache:
en 
Status:
Erstveröffentlichung 
Publikationsdatum:
18.03.2014 
Key publication:
Ja 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein 
Interdisziplinarität:
Ja 
Leitbild:
Energy, Climate, Environment 
Ethics & Sustainability:
Ja 
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