Long-term Spanish electricity market price forecasting with cointegration and VEC models
RA de Marcos, J Reneses… - … on Probabilistic Methods …, 2016 - ieeexplore.ieee.org
Commodity and electricity price models are motivated by the several unexpected evolutions
that commodity prices have shown over the previous decades. Several models are based on
the classic Black-Scholes model, which was one of the first to simulate the stochastic
behaviour of commodity prices. However, as of today, these forecasting models show poor
performance when tested in long-term horizons, especially when applied to electricity
market prices. This work attempts to determine a way to provide a decent accuracy in long …
that commodity prices have shown over the previous decades. Several models are based on
the classic Black-Scholes model, which was one of the first to simulate the stochastic
behaviour of commodity prices. However, as of today, these forecasting models show poor
performance when tested in long-term horizons, especially when applied to electricity
market prices. This work attempts to determine a way to provide a decent accuracy in long …
Long-term Spanish electricity market price forecasting with cointegration and VEC models
RA Marcos Peirotén, J Reneses Guillén… - 2016 - repositorio.comillas.edu
Commodity and electricity price models are motivated by the several unexpected evolutions
that commodity prices have shown over the previous decades. Several models are based on
the classic Black-Scholes model, which was one of the first to simulate the stochastic
behaviour of commodity prices. However, as of today, these forecasting models show poor
performance when tested in long-term horizons, especially when applied to electricity
market prices. This work attempts to determine a way to provide a decent accuracy in long …
that commodity prices have shown over the previous decades. Several models are based on
the classic Black-Scholes model, which was one of the first to simulate the stochastic
behaviour of commodity prices. However, as of today, these forecasting models show poor
performance when tested in long-term horizons, especially when applied to electricity
market prices. This work attempts to determine a way to provide a decent accuracy in long …
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