Performance of Electricity Price Forecasting Models: Evidence from Turkey

Umut Ugurlu; Oktay Tas; Umut Gunduz

doi:10.1080/1540496X.2017.1419955

Performance of Electricity Price Forecasting Models: Evidence from Turkey

Umut Ugurlu^*, Oktay Tas, Umut Gunduz

^*Bu çalışma için yazışmadan sorumlu yazar

İşletme Mühendisliği Bölümü

Istanbul Technical University

Araştırma sonucu: Dergiye katkı › Makale › bilirkişi

13 Atıf (Scopus)

Özet

In this article, hourly prices of the Turkish Day Ahead Electricity Market are forecasted by using various univariate electricity price models, then the out-of-sample forecasts are compared with each other and the benchmarks. This article has two main contributions to the literature: Firstly, it provides a factorial Analysis of Variance (ANOVA) as a pre-whitening method of the price series and allows one to work with the stationary residuals series. Secondly, it is the first work, which compares the performances of all important statistical univariate forecast models in the Turkish electricity market. Results indicate the importance of the factorial ANOVA application and the SARIMA model’s success under the given conditions.

Orijinal dil	İngilizce
Sayfa (başlangıç-bitiş)	1720-1739
Sayfa sayısı	20
Dergi	Emerging Markets Finance and Trade
Hacim	54
Basın numarası	8
DOI'lar	https://doi.org/10.1080/1540496X.2017.1419955
Yayın durumu	Yayınlandı - 21 Haz 2018

Bibliyografik not

Publisher Copyright:
Copyright © Taylor & Francis Group, LLC.

Finansman

In the last period of research, Umut Ugurlu is supported by The Scientific and Technological Research Council of Turkey, 2214/A Programme. This work is supported by Research Fund of the Istanbul Technical University; project number: SDK-2018-41160.

Finansörler	Finansör numarası
Türkiye Bilimsel ve Teknolojik Araştirma Kurumu
Istanbul Teknik Üniversitesi	SDK-2018-41160

BM SKH

Bu sonuç, aşağıdaki Sürdürülebilir Kalkınma Hedefine/Hedeflerine katkıda bulunur

Belgeye Erişim

10.1080/1540496X.2017.1419955

Diğer Dosyalar ve Linkler

Link to publication in Scopus

Alıntı Yap

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title = "Performance of Electricity Price Forecasting Models: Evidence from Turkey",

abstract = "In this article, hourly prices of the Turkish Day Ahead Electricity Market are forecasted by using various univariate electricity price models, then the out-of-sample forecasts are compared with each other and the benchmarks. This article has two main contributions to the literature: Firstly, it provides a factorial Analysis of Variance (ANOVA) as a pre-whitening method of the price series and allows one to work with the stationary residuals series. Secondly, it is the first work, which compares the performances of all important statistical univariate forecast models in the Turkish electricity market. Results indicate the importance of the factorial ANOVA application and the SARIMA model{\textquoteright}s success under the given conditions.",

keywords = "electricity price forecasting, factorial ANOVA, pre-whitening, Turkish day-ahead electricity market, univariate time-series modeling",

author = "Umut Ugurlu and Oktay Tas and Umut Gunduz",

note = "Publisher Copyright: Copyright {\textcopyright} Taylor & Francis Group, LLC.",

year = "2018",

month = jun,

day = "21",

doi = "10.1080/1540496X.2017.1419955",

language = "English",

volume = "54",

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TY - JOUR

T1 - Performance of Electricity Price Forecasting Models

T2 - Evidence from Turkey

AU - Ugurlu, Umut

AU - Tas, Oktay

AU - Gunduz, Umut

PY - 2018/6/21

Y1 - 2018/6/21

N2 - In this article, hourly prices of the Turkish Day Ahead Electricity Market are forecasted by using various univariate electricity price models, then the out-of-sample forecasts are compared with each other and the benchmarks. This article has two main contributions to the literature: Firstly, it provides a factorial Analysis of Variance (ANOVA) as a pre-whitening method of the price series and allows one to work with the stationary residuals series. Secondly, it is the first work, which compares the performances of all important statistical univariate forecast models in the Turkish electricity market. Results indicate the importance of the factorial ANOVA application and the SARIMA model’s success under the given conditions.

AB - In this article, hourly prices of the Turkish Day Ahead Electricity Market are forecasted by using various univariate electricity price models, then the out-of-sample forecasts are compared with each other and the benchmarks. This article has two main contributions to the literature: Firstly, it provides a factorial Analysis of Variance (ANOVA) as a pre-whitening method of the price series and allows one to work with the stationary residuals series. Secondly, it is the first work, which compares the performances of all important statistical univariate forecast models in the Turkish electricity market. Results indicate the importance of the factorial ANOVA application and the SARIMA model’s success under the given conditions.

KW - electricity price forecasting

KW - factorial ANOVA

KW - pre-whitening

KW - Turkish day-ahead electricity market

KW - univariate time-series modeling

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U2 - 10.1080/1540496X.2017.1419955

DO - 10.1080/1540496X.2017.1419955

M3 - Article

AN - SCOPUS:85047498191

SN - 1540-496X

VL - 54

SP - 1720

EP - 1739

JO - Emerging Markets Finance and Trade

JF - Emerging Markets Finance and Trade

IS - 8

ER -

Performance of Electricity Price Forecasting Models: Evidence from Turkey

Özet

Bibliyografik not

Finansman

BM SKH

Belgeye Erişim

Diğer Dosyalar ve Linkler

Parmak izi

Alıntı Yap