Arbeitspapier
Can Markov-regime switching models improve power price forecasts? Evidence for German daily power prices
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.
- Sprache
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Englisch
- Erschienen in
-
Series: Discussion Papers in Statistics and Econometrics ; No. 1/05
- Klassifikation
-
Wirtschaft
Energy: General
Electric Utilities
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Thema
-
Electricity spot prices
Markov regime-switching
forecasting
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kosater, Peter
Mosler, Karl
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Cologne, Seminar of Economic and Social Statistics
- (wo)
-
Cologne
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Kosater, Peter
- Mosler, Karl
- University of Cologne, Seminar of Economic and Social Statistics
Entstanden
- 2005
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