Electricity prices forecasting by averaging dynamic factor models

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dc.contributor.author Alonso Fernández, Andrés Modesto
dc.contributor.author Bastos, Guadalupe
dc.contributor.author García-Martos, Carolina
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2017-01-17T13:33:45Z
dc.date.available 2017-01-17T13:33:45Z
dc.date.issued 2017-01
dc.identifier.issn 2387-0303
dc.identifier.uri http://hdl.handle.net/10016/24028
dc.description.abstract In 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.
dc.description.sponsorship Acknowledgements: 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.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries 17-01
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Dimensionality reduction
dc.subject.other Electricity prices
dc.subject.other Bayesian model averaging
dc.subject.other Forecast combination
dc.title Electricity prices forecasting by averaging dynamic factor models
dc.type workingPaper
dc.rights.accessRights openAccess
dc.relation.projectID Gobierno de España. ECO2012-38442
dc.relation.projectID Gobierno de España. ECO2015-66593
dc.relation.projectID Gobierno de España. DPI2011-23500
dc.type.version draft
dc.identifier.uxxi DT/0000001502
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