This empirical paper is a continuation of our earlier work on time series forecasting of day-ahead electricity prices. Given the controversy in the literature whether to use one large model across all hours or 24 separate models, we study if the model structure (and not only the coefficients)...

In this paper we assess the short-term forecasting power of different time series models in the electricity spot market. However, instead of evaluating point predictions we concentrate on interval forecasts. The latter are specifically important for risk management purposes where one is more...

We investigate the forecasting power of different time series models for electricity spot prices. The models include different specifications of linear autoregressive time series with heteroscedastic noise and/or additional fundamental variables and non-linear regime-switching TAR-type models....