Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
245434 | Applied Energy | 2006 | 16 Pages |
Abstract
Non-linear autoregressive Markov regime-switching models are intuitive. Time-series approaches for the modelling of electricity spot prices are frequently proposed. In this paper, such models are compared with an ordinary linear autoregressive model with regard to their forecast performances. The study is carried out using German daily spot-prices from the European Energy Exchange in Leipzig. Four non-linear models are used for the forecast study. The results of the study suggest that Markov regime-switching models provide better forecasts than linear models.
Related Topics
Physical Sciences and Engineering
Energy
Energy Engineering and Power Technology
Authors
Peter Kosater, Karl Mosler,