Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

Delete all

Modeling and forecasting wholesale electricity prices using regime-switching models

2011/01/B/HS4/01077

Keywords:

power market day-ahead (spot) price price spike price forecast regime-switching model VAR model

Descriptors:

  • HS4_3: Econometrics, statistical methods
  • HS4_6: Financial markets, international finance, public finance

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Politechnika Wrocławska, Wydział Informatyki i Zarządzania

woj. dolnośląskie

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr hab. Rafał Weron 

Number of co-investigators in the project: 4

Call: OPUS 1 - announced on 2011-03-15

Amount awarded: 329 600 PLN

Project start date (Y-m-d): 2011-12-01

Project end date (Y-m-d): 2014-11-30

Project duration:: 36 months (the same as in the proposal)

Project status: Project settled

Equipment purchased [PL]

  1. Komputer stacjonarny z monitorem I-23/T/569 (2 szt.) (14 000 PLN)
  2. Komputer Notebook Sony (8 800 PLN)

Information in the final report

  • Publication in academic press/journals (14)
  • Articles in post-conference publications (4)
  • Book publications / chapters in book publications (2)
  1. Computing electricity spot price prediction intervals using quantile regression and forecast averaging
    Authors:
    J. Nowotarski, R. Weron
    Academic press:
    Computational Statistics (rok: 2015, tom: 30(3), strony: 791-803), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s00180-014-0523-0 - link to the publication
  2. Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling
    Authors:
    Joanna Janczura, Stefan Trueck, Rafał Weron, Rodney Wolff
    Academic press:
    Energy Economics (rok: 2013, tom: 38, strony: 96-110), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2013.03.013 - link to the publication
  3. Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach
    Authors:
    J. Janczura
    Academic press:
    Mathematical Methods of Operations Research (rok: 2014, tom: 79, strony: 45321), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s00186-013-0451-8 - link to the publication
  4. Revisiting the relationship between spot and futures prices in the Nord Pool electricity market
    Authors:
    R. Weron, M. Zator
    Academic press:
    Energy Economics (rok: 2014, tom: 44, strony: 178-190), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2014.03.007 - link to the publication
  5. Robust estimation and forecasting of the long-term seasonal component of electricity spot prices
    Authors:
    Jakub Nowotarski, Jakub Tomczyk, Rafał Weron
    Academic press:
    Energy Economics (rok: 2013, tom: 39, strony: 13-27), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2013.04.004 - link to the publication
  6. Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs
    Authors:
    A. Kowalska-Pyzalska, K. Maciejowska, K. Suszczyński, K. Sznajd-Weron, R.Weron
    Academic press:
    Energy Policy (rok: 2014, tom: 72, strony: 164-174), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.enpol.2014.04.021 - link to the publication
  7. Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices
    Authors:
    Joanna Janczura, Rafał Weron
    Academic press:
    AStA - Advances in Statistical Analysis (rok: 2013, tom: 97(3), strony: 239-270), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s10182-012-0202-9 - link to the publication
  8. Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging
    Authors:
    K. Maciejowska, J. Nowotarski, R. Weron
    Academic press:
    International Journal of Forecasting (rok: 2015, ), Wydawca: Elsevier
    Status:
    Accepted for publication
    DOI:
    10.1016/j.ijforecast.2014.12.004 - link to the publication
  9. A note on using the Hodrick-Prescott filter in electricity markets
    Authors:
    R. Weron, M. Zator
    Academic press:
    Energy Economics (rok: 2015, tom: 48, strony: 45297), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2014.11.014 - link to the publication
  10. An empirical comparison of alternate schemes for combining electricity spot price forecasts
    Authors:
    J. Nowotarski, E. Raviv, S. Trück, R. Weron
    Academic press:
    Energy Economics (rok: 2014, tom: 46, strony: 395-412), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2014.07.014 - link to the publication
  11. Electricity price forecasting: A review of the state-of-the-art with a look into the future
    Authors:
    R. Weron
    Academic press:
    International Journal of Forecasting (rok: 2014, tom: 30, strony: 1030-1081), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.ijforecast.2014.08.008 - link to the publication
  12. Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships
    Authors:
    K. Maciejowska, R. Weron
    Academic press:
    Computational Statistics (rok: 2015, tom: 30(3), strony: 805-819), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s00180-014-0531-0 - link to the publication
  13. Black swans or dragon kings? A simple test for deviations from the power law
    Authors:
    Joanna Janczura, Rafał Weron
    Academic press:
    European Physical Journal - Special Topics (rok: 2012, tom: 205, strony: 79-93), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1140/epjst/e2012-01563-9 - link to the publication
  14. Efficient estimation of Markov regime-switching models: An application to electricity spot prices
    Authors:
    Joanna Janczura, Rafał Weron
    Academic press:
    AStA - Advances in Statistical Analysis (rok: 2012, tom: 96(3), strony: 385-407), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s10182-011-0181-2 - link to the publication
  1. Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices
    Authors:
    J. Nowotarski, J. Tomczyk, R. Weron
    Conference:
    10th International Conference on the European Energy Market (EEM'13) (rok: 2014, ), Wydawca: IEEE Conference Proceedings
    Data:
    konferencja 28-30 May 2013, Stockholm, Sweden
    Status:
    Published
    DOI:
    link to the publication
  2. Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market
    Authors:
    K. Maciejowska, R. Weron
    Conference:
    10th International Conference on the European Energy Market (EEM'13) (rok: 2014, ), Wydawca: IEEE Conference Proceedings
    Data:
    konferencja 28-30 May 2013, Stockholm, Sweden
    Status:
    Published
    DOI:
    link to the publication
  3. Fundamental and speculative shocks, what drives electricity prices?
    Authors:
    K. Maciejowska
    Conference:
    11th International Conference on the European Energy Market (EEM'14) (rok: 2014, ), Wydawca: IEEE Conference Proceedings
    Data:
    konferencja 28-30 May 2014, Kraków, Poland
    Status:
    Published
    DOI:
    link to the publication
  4. Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices
    Authors:
    J. Nowotarski, R. Weron
    Conference:
    11th International Conference on the European Energy Market (EEM'14) (rok: 2014, ), Wydawca: IEEE Conference Proceedings
    Data:
    konferencja 28-30 May 2014, Kraków, Poland
    Status:
    Published
    DOI:
    link to the publication
  1. Inference for Markov-regime switching models of electricity spot prices
    Authors:
    Joanna Janczura, Rafał Weron
    Book:
    "Quantitative Energy Finance", eds. F.E. Benth, P. Laurence, V. Kholodnyi (rok: 2014, tom: I, strony: 137-155), Wydawca: Springer, Berlin
    Status:
    Published
    DOI:
    link to the publication
  2. Modelling price spikes in electricity markets - the impact of load, weather and capacity
    Authors:
    R. Handika, C. Truong, S. Trück, R. Weron
    Book:
    "Energy Pricing Models: Recent Advances, Methods, and Tools", ed. M. Prokopczuk (rok: 2014, tom: I, strony: 195-221), Wydawca: Palgrave Macmillan
    Status:
    Published

O Narodowym Centrum Nauki

Finansowanie nauki

Współpraca zagraniczna

Centrum prasowe

Deklaracja dostępności
Przetwarzanie danych osobowych
Polityka cookies

Partnerzy