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Electricity price forecasting in the short term hybridising fundamental and econometric modelling
Marcos Peirotén, Rodrigo Alejandro de; Bello Morales, Antonio; Reneses Guillén, JavierTraders and practitioners in diverse power exchanges are nowadays being most exposed to uncertainty than ever. The combination of several factors such as renewable generation and regulatory changes calls for suitable ... -
Short-term electricity price forecasting with a composite fundamental-econometric hybrid methodology
Marcos Peirotén, Rodrigo Alejandro de; Bello Morales, Antonio; Reneses Guillén, JavierVarious power exchanges are nowadays being affected by a plethora of factors that, as a whole, cause considerable instabilities in the system. As a result, traders and practitioners must constantly adapt their strategies ... -
Short-term electricity price forecasting with recurrent regimes and structural breaks
Marcos Peirotén, Rodrigo Alejandro de; Bunn, Derek W.; Bello Morales, Antonio; Reneses Guillén, JavierThis paper develops a new approach to short-term electricity forecasting by focussing upon the dynamic specification of an appropriate calibration dataset prior to model specification. It challenges the conventional ...