- Consulting Editors
- Vars, Cointegration, and Common Cycle Restrictions
- Dynamic Factor Models
- Forecasting With Nonlinear Time Series Models
- Forecasting With DSGE Models
- Forecasting Economic Time Series Using Unobserved Components Time Series Models
- Improving the Role of Judgment in Economic Forecasting
- Forecasting with Mixed-Frequency Data
- Forecasting with Real-Time Data Vintages
- Forecasting from misspecified Models in the Presence of Unanticipated Location Shifts
- Forecasting Breaks and Forecasting During Breaks
- Forecast Combinations
- Multiple Forecast Model Evaluation
- Testing for Unconditional Predictive Ability
- Testing Conditional Predictive Ability
- Interpreting and Combining Heterogeneous Survey Forecasts
- Analyzing Three-Dimensional Panel Data of Forecasts
- Forecasting Financial Time Series
- Forecasting Volatility Using High-Frequency Data
- Economic Value of Weather and Climate Forecasts
- Long-Horizon Growth Forecasting and Demography
- Forecasting the Energy Markets
- Models for Health Care
- Election Forecasting
- Marketing and Sales
Abstract and Keywords
This article, which reviews the modeling and forecasting of energy commodities prices, with a particular focus on spot electricity prices, describes the complexities of the market and price formation, and the models that are used for forecasting in the face of these complexities. It also notes the need to adopt methods that allow for adaptation in the face of a changing environment.
Derek W. Bunn is a professor at London Business School. Author of many research papers and books in the areas of forecasting, decision analysis, and energy economics, he has been Editor of the Journal of Forecasting since 1984, a previous Editor of Energy Economics, and founding editor of the Journal of Energy Markets. He has advised many international companies and government agencies in this sector.
Nektaria V. Karakatsani received her PhD from London Business School in 2005 and is now with the Regulatory Authority for Greece. She has published several econometric studies related to the behavior of daily electricity prices.
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