Hourly electricity prices are formed in daily auctions, but standard scalar price series modelling, linear and nonlinear, cannot take into account this auction information structure. Panel (i.e. vector) series modelling is more suitable than scalar modelling to include the auction information structure. In this paper, a set of linear and nonlinear vector regression models for electricity price econometrics, including Support Vector Regressions, will be discussed and tested on electricity market data.
Panel modelling of electricity prices: Linear and nonlinear regression approaches2013 10th International Conference on the European Energy Market (EEM)
LUCHERONI, Carlo;DE LEONE, Renato
2013-01-01
Abstract
Hourly electricity prices are formed in daily auctions, but standard scalar price series modelling, linear and nonlinear, cannot take into account this auction information structure. Panel (i.e. vector) series modelling is more suitable than scalar modelling to include the auction information structure. In this paper, a set of linear and nonlinear vector regression models for electricity price econometrics, including Support Vector Regressions, will be discussed and tested on electricity market data.File in questo prodotto:
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