Electricity price forecasting using multiple wavelet coherence method : comparison of ARMA versus VARMA
Mustafa Gülerce and Gazanfer Ünal
| Year of publication: |
March 2018
|
|---|---|
| Authors: | Gülerce, Mustafa ; Ünal, Gazanfer |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 5.2018, 1, p. 1-20
|
| Subject: | ARMA and VARMA models | electricity market | energy pricing | wavelet coherence | price forecasting | Strompreis | Electricity price | Prognoseverfahren | Forecasting model | ARMA-Modell | ARMA model | Zustandsraummodell | State space model | Theorie | Theory | Energiepreis | Energy price | Energiemarkt | Energy market | Zeitreihenanalyse | Time series analysis | Elektrizitätswirtschaft | Electric power industry | VAR-Modell | VAR model | Prognose | Forecast |