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Forecasting electricity prices and their volatilities using Unobserved Components

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  • García-Martos, Carolina
  • Rodríguez, Julio
  • Sánchez, María Jesús

Abstract

The liberalization of electricity markets more than ten years ago in the vast majority of developed countries has introduced the need of modelling and forecasting electricity prices and volatilities, both in the short and long term.

Suggested Citation

  • García-Martos, Carolina & Rodríguez, Julio & Sánchez, María Jesús, 2011. "Forecasting electricity prices and their volatilities using Unobserved Components," Energy Economics, Elsevier, vol. 33(6), pages 1227-1239.
    • Handle: RePEc:eee:eneeco:v:33:y:2011:i:6:p:1227-1239
    DOI: 10.1016/j.eneco.2011.07.005
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    Cited by:

    1. Liu, Heping & Shi, Jing, 2013. "Applying ARMA–GARCH approaches to forecasting short-term electricity prices," Energy Economics, Elsevier, vol. 37(C), pages 152-166.
    2. Gunnhildur H. Steinbakk & Alex Lenkoski & Ragnar Bang Huseby & Anders L{o}land & Tor Arne {O}ig{aa}rd, 2018. "Using published bid/ask curves to error dress spot electricity price forecasts," Papers 1812.02433, arXiv.org.

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