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Forecasting electricity spot prices using time-series models with a double temporal segmentation

hal.structure.identifier
dc.contributor.authorBessec, Marie*
hal.structure.identifierESCP-EAP
dc.contributor.authorFouquau, Julien*
hal.structure.identifier
dc.contributor.authorMéritet, Sophie*
dc.date.accessioned2016-02-18T09:14:14Z
dc.date.available2016-02-18T09:14:14Z
dc.date.issued2016
dc.identifier.issn0003-6846
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/15386
dc.language.isoenen
dc.subjectForecastingen
dc.subjectelectricity spot pricesen
dc.subjectseasonalityen
dc.subjectregime-switchingen
dc.subjectcombinationsen
dc.subject.ddc338en
dc.subject.classificationjelC.C2.C22
dc.subject.classificationjelC.C5.C53
dc.subject.classificationjelL.L9.L94
dc.titleForecasting electricity spot prices using time-series models with a double temporal segmentationen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThe French wholesale market is set to expand in the next few years under European pressure and national decisions. In this article, 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 (MS) models and threshold models with a smooth transition. An extensive evaluation on French data shows that modelling each season independently leads to better results. Among nonlinear models, MS models designed to capture the sudden and fast-reverting spikes in the price dynamics yield more accurate forecasts. Finally, pooling forecasts give more reliable results.en
dc.relation.isversionofjnlnameApplied Economics
dc.relation.isversionofjnlvol48en
dc.relation.isversionofjnlissue5en
dc.relation.isversionofjnldate2016
dc.relation.isversionofjnlpages361-378en
dc.relation.isversionofdoi10.1080/00036846.2015.1080801en
dc.relation.isversionofjnlpublisherChapman and Hallen
dc.subject.ddclabelEconomie industrielleen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2016-01-21T14:20:53Z
hal.identifierhal-01276807*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
hal.author.functionaut
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