Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/209899 
Year of Publication: 
2008
Series/Report no.: 
Working Paper No. 2008/8
Publisher: 
Norges Bank, Oslo
Abstract: 
This paper examines the predictive power of weather for electricity prices in day-ahead markets in real time. We find that next-day weather forecasts improve the forecast accuracy of day-ahead electricity prices substantially, suggesting that weather forecasts can price the weather premium. Moreover, we find that the predictive power of weather forecasts for electricity prices can be further exploited by allowing for non-linear effects of the weather forecasts.
Subjects: 
GARCH models
electricity prices
forecasting
weather forecasts
JEL: 
C53
G15
Q40
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-439-0
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper
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