Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/26736
Authors: 
Kosater, Peter
Mosler, Karl
Year of Publication: 
2005
Series/Report no.: 
Discussion papers in statistics and econometrics 1/05
Abstract: 
Nonlinear autoregressive Markov regime-switching models are intuitive and frequently proposed time series approaches for the modelling of electricity spot prices. In this paper such models are compared to an ordinary linear autoregressive model with regard to their forecast performance. The study is carried out using German daily spot prices from the European Energy Exchange in Leipzig. Four nonlinear models are used for the forecast study. The resultsof the study suggest that Markov regime-switching models provide better forecasts than linear models.
Subjects: 
Electricity spot prices
Markov regime-switching
forecasting
JEL: 
Q40
L94
C22
Document Type: 
Working Paper

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