Efficient forecasting of electricity spot prices with expert and LASSO models
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- Bartosz Uniejewski & Rafał Weron, 2018. "Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models," Energies, MDPI, vol. 11(8), pages 1-26, August.
References listed on IDEAS
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More about this item
Keywords
Electricity spot price; Day-ahead market; Long-term seasonal component; LASSO; Automated variable selection; Variance stabilizing transformation;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2018-09-03 (Energy Economics)
- NEP-ETS-2018-09-03 (Econometric Time Series)
- NEP-FOR-2018-09-03 (Forecasting)
- NEP-REG-2018-09-03 (Regulation)
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