Weron, Rafal; Misiorek, Adam - In: International Journal of Forecasting 24 (2008) 4, pp. 744-763
This empirical paper compares the accuracy of 12 time series methods for short-term (day-ahead) spot price forecasting in auction-type electricity markets. The methods considered include standard autoregression (AR) models and their extensions -- spike preprocessed, threshold and semiparametric...