期刊
JOURNAL OF COMMODITY MARKETS
卷 19, 期 -, 页码 -出版社
ELSEVIER
DOI: 10.1016/j.jcomm.2019.100107
关键词
Elastic net; Electricity price; Intraday market; Lasso; Variable selection
资金
- German Research Foundation (DFG, Germany)
- National Science Center (NCN, Poland) through BEETHOVEN grant [2016/23/G/HS4/01005]
In the following paper, we analyse the ID3-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 ID3-Price behaviour.
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