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New Publication in Energy Policy

A paper on the modeling of electricity price risk has been published in Energy Policy!

In the paper that has been written by Ezgi Avci, Wolfgang Ketter and Eric van Heck, three key forecasting challenges in electricity day ahead auctions are investigated. Further Highlights:

  • Focus lies on individual model selection, multi-seasonality and transparency issues.
  • Looking from ex-post criteria, using ensemble models does not increase accuracy significantly.
  • According to an ex-ante setting, using ensemble models are useful to manage price modeling risk.
  • Considering fractal dynamics of price could improve decision making of policy makers.

You can have a closer look at the paper here!