Component estimation for electricity market data: Deterministic or stochastic?

Electricity market time series include several systematic components describing the long-term dynamics, the annual, weekly and daily periodicities, calendar effects, jumps, etc. As a result, modelling electricity variables requires the estimation of these components. For this purpose two main approa...

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Veröffentlicht in:	Energy economics 2018-08, Vol.74, p.13-37
Hauptverfasser:	Lisi, Francesco, Pelagatti, Matteo M.
Format:	Artikel
Sprache:	eng
Schlagworte:	British electricity market Component estimation Components Data analysis Determinism Dummy Electricity Electricity loads Electricity prices Electricity pricing Energy economics Estimating techniques Estimation Inappropriateness Italian electricity market Loads (forces) Market analysis Markets Mathematical models Modelling Nord Pool electricity market Pennsylvania-New Jersey-Maryland electricity market Performance prediction Predictions Prices Splines Stochastic control theory Stochastic models Stochastic processes Time series
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