Econometric modelling and forecasting of intraday electricity prices
Statistical Finance
2019-10-01 v2 Econometrics
Applications
Abstract
In the following paper, we analyse the ID-Price in the German Intraday Continuous electricity market using an econometric time series model. A multivariate approach is conducted for hourly and quarter-hourly products separately. We estimate the model using lasso and elastic net techniques and perform an out-of-sample, very short-term forecasting study. The model's performance is compared with benchmark models and is discussed in detail. Forecasting results provide new insights to the German Intraday Continuous electricity market regarding its efficiency and to the ID-Price behaviour.
Keywords
Cite
@article{arxiv.1812.09081,
title = {Econometric modelling and forecasting of intraday electricity prices},
author = {Michał Narajewski and Florian Ziel},
journal= {arXiv preprint arXiv:1812.09081},
year = {2019}
}
Comments
Accepted for publication in the Journal of Commodity Markets