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- W2890741946 abstract "There are two ways of managing market price risk in electricity day ahead markets, forecasting and hedging. In emerging markets, since hedging possibilities are limited, forecasting becomes the foremost important tool to manage spot price risk. Despite the existence of great diversity of spot price forecasting methods, due to the unique characteristics of electricity as a commodity, there are still three key forecasting challenges that a market participant has to take into account: risk of selection of an inadequate forecasting method and transparency level of the market (availability level of public data) and country-specific multi-seasonality factors. We address these challenges by using a detailed market-level data from the Turkish electricity day-ahead auctions, which is an interesting research setting in that it presents a number of challenges for forecasting. We reveal the key distinguishing features of this market quantitatively which then allow us to propose individual and ensemble forecasting models that are particularly well suited to it. This forecasting study is pioneering for Turkey as it is the very first to focus specifically on electricity spot prices since the country's day-ahead market was established in 2012. We also suggested applicable policy and managerial implications for both regulatory bodies, market makers and participants." @default.
- W2890741946 created "2018-09-27" @default.
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- W2890741946 date "2018-12-01" @default.
- W2890741946 modified "2023-10-18" @default.
- W2890741946 title "Managing electricity price modeling risk via ensemble forecasting: The case of Turkey" @default.
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- W2890741946 doi "https://doi.org/10.1016/j.enpol.2018.08.053" @default.
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