Electricity prices forecasting by averaging dynamic factor models Working Papers

authors

ALONSO FERNANDEZ, ANDRES MODESTO
BASTOS, GUADALUPE
GARCIA MARTOS, CAROLINA

publication date

2017

series title

UC3M Working papers. Statistics and Econometrics

full text

http://hdl.handle.net/10016/24028

series number

17-01

keywords

dimensionality reduction; electricity prices; bayesian model averaging; forecast combination