| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.1016/S0306-2619(03)00096-5 |
| Forecasting electricity spot-prices using linear univariate time-series models. | |
| Crespo Cuaresma J; Hlouskova J; Kossmeier S; Obersteiner M | |
| 发表日期 | 2004 |
| 出处 | Applied Energy 77 (1): 87-106 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | This paper studies the forecasting abilities of a battery of univariate models on hourly electricity spot prices, using data from the Leipzig Power Exchange. The specifications studied include autoregressive models, autoregressive-moving average models and unobserved component models. The results show that specifications, where each hour of the day is modelled separately present uniformly better forecasting properties than specifications for the whole time-series, and that the inclusion of simple probabilistic processes for the arrival of extreme price events can lead to improvements in the forecasting abilities of univariate models for electricity spot prices. |
| 主题 | Forestry (FOR) |
| 关键词 | Electricity spot prices ARMA models structural time series models forecasting |
| URL | http://pure.iiasa.ac.at/id/eprint/7186/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/128405 |
| 推荐引用方式 GB/T 7714 | Crespo Cuaresma J,Hlouskova J,Kossmeier S,et al. Forecasting electricity spot-prices using linear univariate time-series models.. 2004. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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