Multivariate simulation‐based forecasting for intraday power markets: Modeling cross‐product price effects
Simon Hirsch,
Florian Ziel
Abstract:Intraday electricity markets play an increasingly important role in balancing the intermittent generation of renewable energy resources, which creates a need for accurate probabilistic price forecasts. However, research to date has focused on univariate approaches, while in many European intraday electricity markets all delivery periods are traded in parallel. Thus, the dependency structure between different traded products and the corresponding cross‐product effects cannot be ignored. We aim to fill this gap … Show more
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