The Impact of Forecasting Jumps on Forecasting Electricity Prices
The paper is devoted to forecasting hourly day-ahead electricity prices from the perspective of the existence of jumps. We compare the results of different jump detection techniques and identify common features of electricity price jumps. We apply the jump-diffusion model with a double exponential d...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-01-01
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| Series: | Energies |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1996-1073/14/2/336 |