The Power of Weather. Some Empirical Evidence on Predicting Day-Ahead Power Prices Through Weather Forecasts

This paper examines the predictive power of weather for electricity prices in day-ahead markets in real time. We find that next-day weather forecasts improve the forecast accuracy of day-ahead electricity prices substantially, suggesting that weather forecasts can price the weather premium. Moreover, we find that the predictive power of weather forecasts for electricity prices can be further exploited by allowing for non-linear effects of the weather forecasts.

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Year of publication:	2008
Authors:	Huurman, Christian ; Ravazzolo, Francesco ; Zhou, Chen
Publisher:	Oslo : Norges Bank
Subject:	GARCH models \| electricity prices \| forecasting \| weather forecasts

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Series:	Working Paper ; 2008/8
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
ISBN:	978-82-7553-439-0
Other identifiers:	hdl:10419/209899 [Handle] hdl:11250/2497777 [Handle] RePEc:bno:worpap:2008_08 [RePEc]
Classification:	C53 - Forecasting and Other Model Applications ; G15 - International Financial Markets ; Q40 - Energy. General
Source:	EconStor

Persistent link: https://www.econbiz.de/10012143688