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Probabilistic electricity price forecasting with Bayesian stochastic volatility models

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0 Published in 2019 at "Energy Economics"

DOI: 10.1016/j.eneco.2019.02.004

Abstract: Abstract The study is focused on probabilistic forecasts of day-ahead electricity prices. The Bayesian approach allows for conducting statistical inference about model parameters, latent volatility, jump times and their sizes. Moreover, the Bayesian forecasting takes… read more here.

Keywords: volatility; price; probabilistic electricity; stochastic volatility ... See more keywords