Semi-parametric Forecasting of Spikes in Electricity Prices.

• Autores: Adam Clements, Joanne Fuller, Stan Hurn
• Localización: Economic record, ISSN 0013-0249, Vol. 89, Nº. 287, 2013, págs. 508-521
• Idioma: inglés
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• Resumen

  • The occurrence of extreme movements in the spot price of electricity represents a significant source of risk to retailers. A range of approaches have been considered with respect to modelling electricity prices; these models, however, have relied on time-series approaches, which typically use restrictive decay schemes placing greater weight on more recent observations. This study develops an alternative, semi-parametric method for forecasting, which uses state-dependent weights derived from a kernel function. The forecasts that are obtained using this method are accurate and therefore potentially useful to electricity retailers in terms of risk management.