TY - JOUR
T1 - Modeling long-term seasonality and spikes of the spot electricity prices in Turkey
AU - Akyildirim, Erdinç
AU - Göncü, Ahmet
AU - Altarovici, Albert
PY - 2014
Y1 - 2014
N2 - Stochastic models of electricity spot prices depend on price spikes and long-term seasonality. Therefore it is crucial to determine suitable methods for the identification of price spikes and the modeling of long-term seasonal components (LTSC). Following recent studies (Janczura and Weron, 2010; Janczura et al., 2013), we compare the proportion of observations identified as outliers for five different outlier detection methods and three approaches to long-term seasonality modeling. After removing the effects of outliers, we compare the out-of-sample forecasting performance for three categories of long-term seasonality models: dummies, Fourier series, and wavelet-based methods. We consider various combinations of each approach and perform a comprehensive backtesting comparison at different forecasting horizons for the recently liberalized Turkish electricity market.
AB - Stochastic models of electricity spot prices depend on price spikes and long-term seasonality. Therefore it is crucial to determine suitable methods for the identification of price spikes and the modeling of long-term seasonal components (LTSC). Following recent studies (Janczura and Weron, 2010; Janczura et al., 2013), we compare the proportion of observations identified as outliers for five different outlier detection methods and three approaches to long-term seasonality modeling. After removing the effects of outliers, we compare the out-of-sample forecasting performance for three categories of long-term seasonality models: dummies, Fourier series, and wavelet-based methods. We consider various combinations of each approach and perform a comprehensive backtesting comparison at different forecasting horizons for the recently liberalized Turkish electricity market.
KW - Electricity price spikes
KW - Long-term seasonality modeling
KW - Turkish electricity prices
KW - Wavelets
UR - http://www.scopus.com/inward/record.url?scp=84931025636&partnerID=8YFLogxK
U2 - 10.21773/boun.28.2.1
DO - 10.21773/boun.28.2.1
M3 - Article
AN - SCOPUS:84931025636
SN - 1300-9583
VL - 28
SP - 1
EP - 18
JO - Bogazici Journal
JF - Bogazici Journal
IS - 2
ER -