Huurman, Christian; Ravazzolo, Francesco; Zhou, Chen - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3793-3807
. In particular, next-day weather forecasts improve the forecast accuracy of Scandinavian day-ahead electricity prices in … terms of point and density forecasts. This suggests that weather forecasts can price the weather premium on electricity … prices. By augmenting with weather forecasts, GARCH-type time-varying volatility models statistically outperform …