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Measuring long-range dependence in electricity prices

Weron, Rafał - In: Empirical science of financial fluctuations : the …, (pp. 110-119). 2002

Persistent link: https://www.econbiz.de/10001679244

Forecasting Wholesale Electricity Prices : A Review of Time Series Models

Weron, Rafal - 2009

In this paper we assess the short-term forecasting power of different time series models in the electricity spot market. We calibrate autoregression (AR) models, including specifications with a fundamental (exogenous) variable - system load, to California Power Exchange (CalPX) system spot...

Persistent link: https://www.econbiz.de/10014216344

Robust estimation and forecasting of the long-term seasonal component of electricity spot prices

Nowotarski, Jakub; Tomczyk, Jakub; Weron, Rafał - In: Energy economics 39 (2013), pp. 13-27

Persistent link: https://www.econbiz.de/10010235039

Identifying spikes and seasonal components in electricity spot price data : a guide to robust modeling

Janczura, Joanna; Trück, Stefan; Weron, Rafał; Wolff, … - In: Energy economics 38 (2013), pp. 96-110

Persistent link: https://www.econbiz.de/10009764599

Forecasting spot electricity prices : a comparison of parametric and semiparametric time series models

Weron, Rafał; Misiorek, Adam - In: International journal of forecasting 24 (2008) 4, pp. 744-763

Persistent link: https://www.econbiz.de/10003808387

Point and interval forecasting of spot electricity prices : linear vs. non-linear time series models

Misiorek, Adam (contributor); Trueck, Stefan (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 3, pp. 1-34

Persistent link: https://www.econbiz.de/10003559010

Electricity price forecasting : a review of the state-of-the-art with a look into the future

Weron, Rafał - In: International journal of forecasting 30 (2014) 4, pp. 1030-1081

Persistent link: https://www.econbiz.de/10010517770

On the importance of the long-term seasonal component in day-ahead electricity price forecasting

Nowotarski, Jakub; Weron, Rafał - In: Energy economics 57 (2016), pp. 228-235

Persistent link: https://www.econbiz.de/10011698464

A note on using the Hodrick-Prescott filter in electricity markets

Weron, Rafał; Zator, Michał - In: Energy economics 48 (2015), pp. 1-6

Persistent link: https://www.econbiz.de/10011533689

Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market

Chȩć, Katarzyna; Uniejewski, Bartosz; Weron, Rafał - In: Journal of commodity markets : JCM 37 (2025), pp. 1-12

Persistent link: https://www.econbiz.de/10015329494