Improving Electricity Market Price Forecasting with Factor Models for the Optimal Generation Bid

DOI10.1111/insr.12014zbMath1418.91397OpenAlexW1603504606MaRDI QIDQ4968568

Cristina Corchero, M. Pilar Muñoz, F.-Javier Heredia

Publication date: 16 July 2019

Published in: International Statistical Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/insr.12014

zbMATH Keywords

stochastic programmingfactor modelsshort-term forecastingelectricity market pricesprice scenarios

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic programming (90C15) Stochastic models in economics (91B70) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)