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Autoren: 
Pape, Christian
Vogler, Arne
Woll, Oliver
Weber, Christoph
Datum: 
2017
Schriftenreihe/Nr.: 
HEMF Working Paper No. 05/2017
Zusammenfassung: 
We present a stochastic modelling approach to describe the dynamics of hourly electricity prices. The suggested methodology is a stepwise combination of several mathematical operations to adequately characterize the distribution of electricity spot prices. The basic idea is to analyze day-ahead prices as panel of 24 cross-sectional hours and to identify principal components of hourly prices to account for the cross correlation between hours. Moreover, non-normality of residuals is addressed by performing a normal quantile transformation and specifying appropriate stochastic processes for time series before fit. We highlight the importance of adequate distributional forecasts and present a framework to evaluate the distribution forecast accuracy. The application for German electricity prices 2015 reveal that: (i) An autoregressive specification of the stochastic component delivers the best distribution but not always the best point forecasting results. (ii) Only a complete evaluation of point, interval and density forecast, including formal statistical tests, can ensure a correct model choice.
Schlagwörter: 
Distribution forecasts
Electricity
Price forecasting
Panel data
Statistical tests
JEL: 
Q47
N74
Dokumentart: 
Working Paper

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