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Erscheinungsjahr: 
2005
Schriftenreihe/Nr.: 
Discussion Papers in Statistics and Econometrics No. 1/05
Verlag: 
University of Cologne, Seminar of Economic and Social Statistics, Cologne
Zusammenfassung: 
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.
Schlagwörter: 
Electricity spot prices
Markov regime-switching
forecasting
JEL: 
Q40
L94
C22
Dokumentart: 
Working Paper

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