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Titel:

A semiparametric model for electricity spot prices

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Kovacevic, R.; Wozabal, D.
Nicht-TUM Koautoren:
ja
Kooperation:
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...     »
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:
4
Seitenangaben Beitrag:
344-356
Nachgewiesen in:
Scopus; Web of Science
Sprache:
en
Volltext / DOI:
doi:10.1080/0740817X.2013.803640
WWW:
http://dx.doi.org/10.1080/0740817X.2013.803640
Status:
Erstveröffentlichung
Publikationsdatum:
18.03.2014
Urteilsbesprechung:
0
Key publication:
Ja
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
Interdisziplinarität:
Ja
Leitbild:
Energy, Climate, Environment
Ethics und Sustainability:
Ja
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