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Electricity prices forecasting by averaging dynamic factor models

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorAlonso Fernández, Andrés Modesto
dc.contributor.authorBastos, Guadalupe
dc.contributor.authorGarcía-Martos, Carolina
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadísticaes
dc.contributor.otheres
dc.date.accessioned2017-01-17T13:33:45Z
dc.date.available2017-01-17T13:33:45Z
dc.date.issued2017-01
dc.description.abstractIn the context of the liberalization of electricity markets, forecasting prices is essential. With this aim, research has evolved to model the particularities of electricity prices. In particular, Dynamic Factor Models have been quite successful in the task, both in the short and long run. However, specifying a single model for the unobserved factors is difficult, and it can not be guaranteed that such a model exists. In this paper, Model Averaging is employed to overcome this difficulty, with the expectation that electricity prices would be better forecast by acombination of models for the factors than by a single model. Although our procedure is applicable in other markets, it is illustrated with applications to forecasting spot prices of the Iberian Market, MIBEL (The Iberian Electricity Market) and the Italian Market. Three combinations of forecasts are successful in providing improved results for alternative forecasting horizons.es
dc.description.sponsorshipAcknowledgements: A.M. Alonso acknowledges support of the Spanish Ministry of Economy and Competitiveness, research projects ECO2012-38442, and ECO2015-66593. Carolina García-Martos acknowledges financial support from project DPI2011-23500, Spanish Ministry of Economy and Competitiveness. The authors would like to extend their appreciation to Professor Michael Wiper for his assistance and corrections regarding the proper use of English in this document.en
dc.format.mimetypeapplication/pdf
dc.identifier.issn2387-0303es
dc.identifier.urihttps://hdl.handle.net/10016/24028
dc.identifier.uxxiDT/0000001502es
dc.language.isoenges
dc.relation.ispartofseriesUC3M Working papers. Statistics and Econometricses
dc.relation.ispartofseries17-01es
dc.relation.projectIDGobierno de España. ECO2012-38442es
dc.relation.projectIDGobierno de España. ECO2015-66593es
dc.relation.projectIDGobierno de España. DPI2011-23500es
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.accessRightsopen accessen
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.otherDimensionality reductiones
dc.subject.otherElectricity priceses
dc.subject.otherBayesian model averaginges
dc.subject.otherForecast combinationes
dc.titleElectricity prices forecasting by averaging dynamic factor modelses
dc.typeworking paper*
dc.type.hasVersionAO*
dspace.entity.typePublication
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