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Title:

A semiparametric model for electricity spot prices

Document type:
Zeitschriftenaufsatz
Author(s):
Kovacevic, R.; Wozabal, D.
Non-TUM Co-author(s):
ja
Cooperation:
international
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:
4
Pages contribution:
344-356
Covered by:
Scopus; Web of Science
Language:
en
Fulltext / DOI:
doi:10.1080/0740817X.2013.803640
WWW:
http://dx.doi.org/10.1080/0740817X.2013.803640
Status:
Erstveröffentlichung
Date of publication:
18.03.2014
Judgement review:
0
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
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