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How to Incorporate Volatility and Risk in Electricity Price Forecasting

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  • Deb, Rajat
  • Albert, Richard
  • Hsue, Lie-Long
  • Brown, Nicholas

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Suggested Citation

  • Deb, Rajat & Albert, Richard & Hsue, Lie-Long & Brown, Nicholas, 2000. "How to Incorporate Volatility and Risk in Electricity Price Forecasting," The Electricity Journal, Elsevier, vol. 13(4), pages 65-75, May.
    • Handle: RePEc:eee:jelect:v:13:y:2000:i:4:p:65-75
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    Cited by:

    1. G. Pritchard & G. Zakeri, 2003. "Market Offering Strategies for Hydroelectric Generators," Operations Research, INFORMS, vol. 51(4), pages 602-612, August.
    2. Liu, Heping & Shi, Jing, 2013. "Applying ARMA–GARCH approaches to forecasting short-term electricity prices," Energy Economics, Elsevier, vol. 37(C), pages 152-166.
    3. Erdogdu, Erkan, 2016. "Asymmetric volatility in European day-ahead power markets: A comparative microeconomic analysis," Energy Economics, Elsevier, vol. 56(C), pages 398-409.
    4. Zhang, Wenbin & Tian, Lixin & Wang, Minggang & Zhen, Zaili & Fang, Guochang, 2016. "The evolution model of electricity market on the stable development in China and its dynamic analysis," Energy, Elsevier, vol. 114(C), pages 344-359.
    5. He, Kaijian & Yu, Lean & Tang, Ling, 2015. "Electricity price forecasting with a BED (Bivariate EMD Denoising) methodology," Energy, Elsevier, vol. 91(C), pages 601-609.
    6. Heo, Deung-Yong Yong, 2015. "Studies on electric power markets: preparing for the penetration of renewable resources," ISU General Staff Papers 201501010800005377, Iowa State University, Department of Economics.

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