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dc.contributor.authorFouquau, Julien*
dc.contributor.authorBessec, Marie*
dc.contributor.authorMéritet, Sophie*
dc.date.accessioned2014-06-18T13:13:06Z
dc.date.available2014-06-18T13:13:06Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13532
dc.language.isoenen
dc.subjectElectricity spot pricesen
dc.subjectforecastingen
dc.subjectregime-switchingen
dc.subject.ddc333en
dc.subject.classificationjelC.C2.C22en
dc.subject.classificationjelC.C2.C24en
dc.subject.classificationjelQ.Q4.Q43en
dc.titleForecasting electricity spot prices using time-series models with a double temporal segmentationen
dc.typeCommunication / Conférence
dc.contributor.editoruniversityotherRouen;
dc.description.abstractenThe French wholesale market is set to expand in the next few years under European pressure and national decisions. In this paper, we assess the forecasting ability of several classes of time series models for electricity wholesale spot prices at a day-ahead horizon in France. Electricity spot prices display a strong seasonal pattern, particularly in France given the high share of electric heating in housing during winter time. To deal with this pattern, we implement a double temporal segmentation of the data. For each trading period and season, we use a large number of specifications based on market fundamentals: linear regressions, markov-switching models, threshold models with a smooth transition. Non-linear models designed to capture the sudden and fast-reverting spikes in the price dynamics yield more accurate forecasts. Modeling each season independently also leads to better results. Finally, pooling forecasts gives more reliable results. Individual models are generally superior but their performance is more unstable across hours and seasons.en
dc.identifier.citationpages34en
dc.subject.ddclabelEconomie de la terre et des ressources naturellesen
dc.relation.conftitle2nd International Symposium on Energy and Finance Issues (ISEFI-2014)en
dc.relation.confdate2014-03
dc.relation.confcityParisen
dc.relation.confcountryFranceen
dc.relation.forthcomingnonen
dc.description.submittednonen
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewednon
hal.person.labIds255365*
hal.person.labIds255365*
hal.person.labIds255365*
hal.identifierhal-01502835*


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