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Document type:
Zeitschriftenaufsatz 
Author(s):
Kovacevic, R.; Wozabal, D. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
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...    »
 
Keywords:
Electricity markets; statistical modeling; price forecasting; generalized linear models; single index models 
Intellectual Contribution:
Discipline-based Research 
Journal title:
IIE Transactions 
Journal listet in FT50 ranking:
nein 
Year:
2014 
Journal volume:
46 
Journal issue:
Pages contribution:
344-356 
Covered by:
Scopus; Web of Science 
Language:
en 
Status:
Erstveröffentlichung 
Date of publication:
18.03.2014 
Key publication:
Ja 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
Interdisciplinarity:
Ja 
Mission statement:
Energy, Climate, Environment 
Ethics and Sustainability:
Ja