In this paper we address the issue of modeling electricity loads. After analyzing properties of the deseasonalized loads from the California power market we fit an ARMA(1,6) model to the data. The obtained residuals seem to be independent but with tails heavier than Gaussian. It turns out that the hyperbolic distribution provides an excellent fit.

In this paper we study the dependence structure for AR (1)

In this paper we address the issue of modeling electricity loads and prices with diffusion processes. More specifically, we study models which belong to the class of generalized Ornstein-Uhlenbeck processes. After comparing properties of simulated paths with those of deseasonalized data from the California power market and performing out-of-sample forecasts we conclude that, despite certain advantages, the analyzed continuous-time processes are not adequate models of electricity load and price dynamics.