Capítulo de livro
Energy prices forecasting using GLM
Maria Filomena Teodoro (Teodoro, M. F.); Andrade, M. A. P. (Andrade, M.); Eliana Costa e Silva (Silva, E. C.); Ana Borges (Borges, A.); Ricardo Covas (Covas, R.);
Título Livro
Recent studies in risk analysis and statistical modeling
Ano (publicação definitiva)
2018
Língua
Inglês
País
Suíça
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N.º de citações: 3

(Última verificação: 2024-03-28 21:59)

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Abstract/Resumo
The work described in this article results from a problem proposed by the company EDP - Energy Solutions Operator, in the framework of ESGI 119th, European Study Group with Industry, during July 2016. Markets for electricity have two characteristics: the energy is mainly no-storable and volatile prices at exchanges are issues to take into consideration. These two features, between others, contribute significantly to the risk of a planning process. The aim of the problem is the short term forecast of hourly energy prices. In present work, GLM is considered a useful technique to obtain a predictive model where its predictive power is discussed. The results show that in the GLM framework the season of the year, month or winter/ summer period revealed significant explanatory variables in the different estimated models. The in-sample forecast is promising, conducting to adequate measures of performance.
Agradecimentos/Acknowledgements
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Registos de financiamentos
Referência de financiamento Entidade Financiadora
UID/Multi/04621/2013 Fundação para a Ciência e a Tecnologia