Resource title

Can Markov-regime switching models improve power price forecasts? Evidence for German daily power prices

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Resource description

Nonlinear autoregressive Markov regime-switching models are intuitive and frequently proposed time series approaches for the modelling of electricity spot prices. In this paper such models are compared to an ordinary linear autoregressive model with regard to their forecast performance. The study is carried out using German daily spot prices from the European Energy Exchange in Leipzig. Four nonlinear models are used for the forecast study. The resultsof the study suggest that Markov regime-switching models provide better forecasts than linear models.

Resource author

Peter Kosater, Karl Mosler

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Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/26736

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Adapt according to the presented license agreement and reference the original author.