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- W2034269318 abstract "This paper investigates the day-ahead forecasting performance of fundamental price models for electricity spot prices, intended to capture: (i) the impacts of economic, technical, strategic and risk factors on intra-day prices; and (ii) the dynamics of these effects over time. A time-varying parameter (TVP) regression model allows for a continuously adaptive price structure, due to agent learning, regulatory and market structure changes. A regime-switching regression model allows for discontinuities in pricing due to temporal irregularities and scarcity effects. The models that invoke market fundamentals and time-varying coefficients exhibit the best predictive performance among various alternatives, in the British market." @default.
- W2034269318 created "2016-06-24" @default.
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- W2034269318 date "2008-10-01" @default.
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- W2034269318 title "Forecasting electricity prices: The impact of fundamentals and time-varying coefficients" @default.
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- W2034269318 doi "https://doi.org/10.1016/j.ijforecast.2008.09.008" @default.
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