DISCUSSION PAPERS IN STATISTICS AND ECONOMETRICS SEMINAR OF ECONOMIC AND SOCIAL STATISTICS UNIVERSITY OF COLOGNE Nr. 1/05 Can Markov-regime switching models improve power price forecasts ? Evidence for German daily power prices
نویسنده
چکیده
Nonlinear autoregressive Markov regime-switching models are intuitive and frequently proposed time series approaches for the modelling of electricity spot prices. In this paper such models are compared to an ordinary linear autoregressive model with regard to their forecast performance. The study is carried out using German daily spot prices from the European Energy Exchange in Leipzig. Four nonlinear models are used for the forecast study. The results of the study suggest that Markov regime-switching models provide better forecasts than linear models.
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Discussion Papers in Statistics and Econometrics Seminar of Economic and Social Statistics University of Cologne
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