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• W2912610170 abstract "Abstract In this paper a robust approach to modeling electricity spot prices is introduced. Differently from what has been recently done in the literature on electricity price forecasting, where the attention has been mainly drawn by the prediction of spikes, the focus of this contribution is on the robust estimation of nonlinear SETARX models (Self-Exciting Threshold Auto Regressive models with eXogenous regressors). In this way, parameter estimates are not, or very lightly, influenced by the presence of extreme observations and the large majority of prices, which are not spikes, could be better forecasted. A Monte Carlo study is carried out in order to select the best weighting function for Generalized M-estimators of SETAR processes. A robust procedure to select and estimate nonlinear processes for electricity prices is introduced, including robust tests for stationarity and nonlinearity and robust information criteria. The application of the procedure to the Italian electricity market reveals the forecasting superiority of the robust GM-estimator based on the polynomial weighting function with respect to the non-robust Least Squares estimator. Finally, the introduction of generation from renewable sources in the robust estimation of SETARX processes contributes to the improvement of the forecasting ability of the model." @default.
• W2912610170 created "2019-02-21" @default.
• W2912610170 creator A5020365201 @default.
• W2912610170 creator A5080817663 @default.
• W2912610170 date "2019-04-01" @default.
• W2912610170 modified "2023-09-28" @default.
• W2912610170 title "Robust forecasting of electricity prices: Simulations, models and the impact of renewable sources" @default.
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• W2912610170 doi "https://doi.org/10.1016/j.techfore.2019.01.006" @default.
• W2912610170 hasPublicationYear "2019" @default.
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