Derek Bunn
Research interest
Business forecasting, decision technology, electricity and energy economics
Articles by this Author
Forecasting Electricity Prices
- By Derek Bunn
- Published 09/27/2007
- Forecasting
- Unrated
Keywords: Electricity, Volatility, Regime-switching, Structural Models
Published in:
Publication year: 2003
Co-author 1: Nektaria Karakatsani
This is a review paper documenting the main issues and recent research on modeling and forecasting electricity prices. The special market microstructure of electricity is described, as an explanation of the extraordinary stochastic properties of electricity price time series. The research literature deriving from the application of models adapted from financial assets, for both spot and forward prices, is reviewed and criticised. Final emphasis is placed upon the virtues of computationally intensive structural modeling.
Published in:
Publication year: 2003
Co-author 1: Nektaria Karakatsani
This is a review paper documenting the main issues and recent research on modeling and forecasting electricity prices. The special market microstructure of electricity is described, as an explanation of the extraordinary stochastic properties of electricity price time series. The research literature deriving from the application of models adapted from financial assets, for both spot and forward prices, is reviewed and criticised. Final emphasis is placed upon the virtues of computationally intensive structural modeling.