RT Journal Article
T1 Electricity price forecasting by averaging dynamic factor models
A1 Alonso Fernández, Andrés Modesto
A1 Bastos, Guadalupe
A1 García-Martos, Carolina
AB 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 cannot 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 a combination of models for the factors than by a single model. Although our procedure is applicable in other markets, it is illustrated with an application to forecasting spot prices of the Iberian Market, MIBEL (The Iberian Electricity Market). Three combinations of forecasts are successful in providing improved results for alternative forecasting horizons.
PB MDPI
SN 1996-1073
YR 2016
FD 2016-08-01
LK https://hdl.handle.net/10016/38755
UL https://hdl.handle.net/10016/38755
LA eng
NO Andrés M. Alonso acknowledges the support of the Ministry of Economy and Competitiveness, Spain, by Projects ECO2012-38442 and ECO2015-66593; Carolina García-Martos acknowledges financial support from Project DPI2011-23500, Ministry of Economy and Competitiveness, Spain; 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.
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RD 1 sept. 2024