Forecasting electricity prices and their volatilities using Unobserved Components
نویسندگان
چکیده
منابع مشابه
Forecasting economic time series using unobserved components time series models
A preliminary version, please do not quote
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Structural time series models are formulated in terms of components, such as trends, seasonals and cycles, that have a direct interpretation. As well as providing a framework for time series decomposition by signal extraction, they can be used for forecasting and for ‘nowcasting’ . The structural interpretation allows extensions to classes of models that are able to deal with various issues in ...
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ژورنال
عنوان ژورنال: Energy Economics
سال: 2011
ISSN: 0140-9883
DOI: 10.1016/j.eneco.2011.07.005