Time-Adaptive Probabilistic Forecasts of Electricity Spot Prices with Application to Risk Management.

Brenda López Cabrera & Franziska Schulz
The increasing exposure to renewable energy has amplified the need for risk management in electricity markets. Electricity price risk poses a major challenge to market participants. We propose an approach to model and forecast electricity prices taking into account information on renewable energy production. While most literature focuses on point forecasting, our methodology forecasts the whole distribution of electricity prices and incorporates spike risk, which is of great value for risk management. It is based...
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