| 来源类型 | FEEM working papers "Note di lavoro" series |
| 规范类型 | 论文 |
| Forecasting Weekly Electricity Prices at Nord Pool | |
| Hipòlit Torró | |
| 发表日期 | 2007 |
| 出处 | Energy: Resources and Markets |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | This paper analyses the forecasting power of weekly futures prices at Nord Pool. The forecasting power of futures prices is compared to an ARIMAX model of the spot price. The time series model contains lagged external variables such as: temperature, precipitation, reservoir levels and the basis (futures price less the spot price); and generally reflects the typical seasonal patterns in weekly spot prices. Results show that the time series model forecasts significantly beat futures prices when using the Diebold and Mariano (1995) test. Furthermore, the average forecasting error of futures prices reveals that they are significantly above the settlement spot price at the 'delivery week' and their size increases as the time to maturity increases. Those agents taking positions in weekly futures contracts at Nord Pool might find the estimated ARIMAX model useful for improving their expectation formation process for the underlying spot price. |
| 特色分类 | G13,L94 |
| 关键词 | Electricity Markets,Power Derivatives and Forecasting Electricity Prices |
| URL | https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/forecasting-weekly-electricity-prices-at-nord-pool/ |
| 来源智库 | Fondazione Eni Enrico Mattei (Italy) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/117506 |
| 推荐引用方式 GB/T 7714 | Hipòlit Torró. Forecasting Weekly Electricity Prices at Nord Pool. 2007. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| NDL2007-088.pdf（264KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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