Michał Narajewski, Florian Ziel
arXiv 21 Dec 2018 · Finance — Statistical Finance · publishedJournal of commodity markets (2019) · 111 citations (OpenAlex)
arXiv:1812.09081 · PDF · DOI · OpenAlex · Extracted main text
In the following paper, we analyse the ID$_3$-Price in the German Intraday Continuous electricity market using an econometric time series model. A multivariate approach is conducted for hourly and quarter-hourly products separately. We estimate the model using lasso and elastic net techniques and perform an out-of-sample, very short-term forecasting study. The model's performance is compared with benchmark models and is discussed in detail. Forecasting results provide new insights to the German Intraday Continuous electricity market regarding its efficiency and to the ID$_3$-Price behaviour.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Uniejewski, B., G. Marcjasz, and R. Weron (2019) Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO | 1.000 | 10 | 3 | 100% |
| 2 | Ziel, F (2016) Forecasting Electricity Spot Prices Using Lasso: On Capturing the Autoregressive Intraday Structure self | 1.000 | 5 | 3 | 100% |
| 3 | Uniejewski, B., R. Weron, and F. Ziel (2018) Variance Stabilizing Transformations for Electricity Spot Price Forecasting | 0.811 | 4 | 2 | 100% |
| 4 | Ziel, F. and R. Weron (2018) Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks self | 0.737 | 3 | 2 | 100% |
| 5 | Kiesel, R. and F. Paraschiv (2017) Econometric analysis of 15-minute intraday electricity prices | 0.644 | 2 | 2 | 100% |
| 6 | Tibshirani, R (1996) Regression Shrinkage and Selection via the Lasso | 0.644 | 2 | 2 | 100% |
| 7 | Viehmann, J. (2017, Jun) (2017) State of the German Short-Term Power Market | 0.644 | 2 | 2 | 100% |
| 8 | Zou, H. and T. Hastie (2005) Regularization and variable selection via the elastic net | 0.644 | 2 | 2 | 100% |
| 9 | Diebold, F. and R. Mariano (1995) Comparing Predictive Accuracy | 0.644 | 2 | 2 | 100% |
| 10 | Weron, R (2014) Electricity price forecasting: A review of the state-of-the-art with a look into the future | 0.644 | 2 | 2 | 100% |
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