共查询到13条相似文献,搜索用时 0 毫秒
1.
《International Journal of Forecasting》2019,35(3):1160-1174
We study the forecasting power of financial variables for macroeconomic variables in 62 countries between 1980 and 2013. We find that financial variables such as credit growth, stock prices, and house prices have considerable predictive power for macroeconomic variables at the one- to four-quarter horizons. A forecasting model that includes financial variables outperforms the World Economic Outlook (WEO) forecasts in up to 85% of our sample countries at the four-quarter horizon. We also find that cross-country panel models produce more accurate out-of-sample forecasts than individual country models. 相似文献
2.
《International Journal of Forecasting》2014,30(2):364-368
We present a refined parametric model for forecasting electricity demand which performed particularly well in the recent Global Energy Forecasting Competition (GEFCom 2012). We begin by motivating and presenting a simple parametric model, treating the electricity demand as a function of the temperature and day of the data. We then set out a series of refinements of the model, explaining the rationale for each, and using the competition scores to demonstrate that each successive refinement step increases the accuracy of the model’s predictions. These refinements include combining models from multiple weather stations, removing outliers from the historical data, and special treatments of public holidays. 相似文献
3.
《International Journal of Forecasting》2022,38(1):339-351
This paper proposes a three-step approach to forecasting time series of electricity consumption at different levels of household aggregation. These series are linked by hierarchical constraints—global consumption is the sum of regional consumption, for example. First, benchmark forecasts are generated for all series using generalized additive models. Second, for each series, the aggregation algorithm ML-Poly, introduced by Gaillard, Stoltz, and van Erven in 2014, finds an optimal linear combination of the benchmarks. Finally, the forecasts are projected onto a coherent subspace to ensure that the final forecasts satisfy the hierarchical constraints. By minimizing a regret criterion, we show that the aggregation and projection steps improve the root mean square error of the forecasts. Our approach is tested on household electricity consumption data; experimental results suggest that successive aggregation and projection steps improve the benchmark forecasts at different levels of household aggregation. 相似文献
4.
《International Journal of Forecasting》2023,39(3):1253-1271
Market liberalization and the expansion of variable renewable energy sources in power systems have made the dynamics of electricity prices more uncertain, leading them to show high volatility with sudden, unexpected price spikes. Thus, developing more accurate price modeling and forecasting techniques is a challenge for all market participants and regulatory authorities. This paper proposes a forecasting approach based on using auction data to fit supply and demand electricity curves. More specifically, we fit linear (LinX-Model) and logistic (LogX-Model) curves to historical sale and purchase bidding data from the Iberian electricity market to estimate structural parameters from 2015 to 2019. Then we use time series models on structural parameters to predict day-ahead prices. Our results provide a solid framework for forecasting electricity prices by capturing the structural characteristics of markets. 相似文献
5.
The deregulation of the Colombian electricity system took place in 1994 and the pool started operations in 1995. The Colombian system adopted a capacity charge mechanism to increase incentives to invest in new capacity. The capacity charge was showing strength, and apparently driving investments during the initial years. However, the mechanism started to exhibit weaknesses in terms of transparency and disincentives, causing a negative effect on investments. Different authors have presented alternative regulatory options to update the system. A non-standard system dynamics approach to evaluate alternative regulation schemes for the Colombian electricity market is proposed. A specific regulation problem is undertaken to illustrate the proposed methodology. It shows how the capacity charge mechanism, which has been used for reliability purposes, might be changed for alternative schemes. The proposed transformations to the actual regime seem to overcome some of its drawbacks. Simulation results indicate these alternatives improve the general system behaviour. In addition, the underlying model has been used afterwards for other energy policy purposes. 相似文献
6.
M. Pilar Muñoz Cristina Corchero F.‐Javier Heredia 《Revue internationale de statistique》2013,81(2):289-306
In liberalized electricity markets, the electricity generation companies usually manage their production by developing hourly bids that are sent to the day‐ahead market. As the prices at which the energy will be purchased are unknown until the end of the bidding process, forecasting of spot prices has become an essential element in electricity management strategies. In this article, we apply forecasting factor models to the market framework in Spain and Portugal and study their performance. Although their goodness of fit is similar to that of autoregressive integrated moving average models, they are easier to implement. The second part of the paper uses the spot‐price forecasting model to generate inputs for a stochastic programming model, which is then used to determine the company's optimal generation bid. The resulting optimal bidding curves are presented and analyzed in the context of the Iberian day‐ahead electricity market. 相似文献
7.
Bruno Quaresma Bastos Fernando Luiz Cyrino Oliveira Ruy Luiz Milidiú 《International Journal of Forecasting》2021,37(2):949-970
The increasing penetration of intermittent renewable energy in power systems brings operational challenges. One way of supporting them is by enhancing the predictability of renewables through accurate forecasting. Convolutional Neural Networks (Convnets) provide a successful technique for processing space-structured multi-dimensional data. In our work, we propose the U-Convolutional model to predict hourly wind speeds for a single location using spatio-temporal data with multiple explanatory variables as an input. The U-Convolutional model is composed of a U-Net part, which synthesizes input information, and a Convnet part, which maps the synthesized data into a single-site wind prediction. We compare our approach with advanced Convnets, a fully connected neural network, and univariate models. We use time series from the Climate Forecast System Reanalysis as datasets and select temperature and u- and v-components of wind as explanatory variables. The proposed models are evaluated at multiple locations (totaling 181 target series) and multiple forecasting horizons. The results indicate that our proposal is promising for spatio-temporal wind speed prediction, with results that show competitive performance on both time horizons for all datasets. 相似文献
8.
《Socio》2016
The objective of this study is to present a formal agent-based modeling (ABM) platform that enables managers to predict and partially control patterns of behaviors in certain engineered complex adaptive systems (ECASs). The approach integrates social networks, social science, complex systems, and diffusion theory into a consumer-based optimization and agent-based modeling (ABM) platform. Demonstrated on the U.S. electricity markets, ABM is integrated with normative and subjective decision behavior recommended by the U.S. Department of Energy (DOE) and Federal Energy Regulatory Commission (FERC). Furthermore, the modeling and solution methodology address shortcomings in previous ABM and Transactive Energy (TE) approaches and advances our ability to model and understand ECAS behaviors through computational intelligence. The mathematical approach is a non-convex consumer-based optimization model that is integrated with an ABM in a game environment. 相似文献
9.
The consequences of the 2 °C climate target and the implicitly imposed ceiling on CO2 have been analyzed in several studies. We use an endogenous growth model with a ceiling and an abatement option to study the effect of the ceiling on the allocation of limited funds for R&D, abatement and capital accumulation. It is found that the advantagenousness of abatement rises with the cost advantage of fossil fuel versus backstop. If the cost advantage is sufficiently large at some point in time it outweighs the costs of abatement and the gains of R&D and capital accumulation. The reallocation of production towards abatement may cause an increase or decrease in long-run consumption. In the latter case, abatement allows an intertemporal consumption trade-off which may even justify the disregard of everlasting growth. In case of stock dependent fossil fuel costs, an abatement induced speed-up of technology development may cause an increase in fossil fuel stock left in situ. 相似文献
10.
Muhummad Azfar Anwar Rongting Zhou Fahad Asmi Dong Wang Ali Hammad 《Journal of economic surveys》2019,33(3):968-998
The study explores the intellectual structure, development and evolution of energy crisis and economic growth research through bibliometric analysis of research articles on energy‐growth nexus from 2000 to 2017 by using Citespace where Gephi is used to analyse the authors collaboration. The analysis incorporates 27,152 references cited by 344 authors, in 1165 articles and from 330 journals. The results of study quantitatively present the most cited articles, authors, countries, institutions and intellectual structure with data visualization in the knowledge domain of energy‐growth nexus. The study categorizes the major research areas in energy‐growth nexus research as carbon dioxide emission, electricity consumption, heterogeneous Panel, real income, renewable energy and financial development. The study discusses emerging trends which provide the future research fronts and intellectual development within the framework of energy‐growth nexus. 相似文献
11.
This study performs the challenging task of examining the forecastability behavior of the stock market returns for the Dow Jones Islamic Market (DJIM) and the Dow Jones Industrial Average (DJIA) indices, using non-parametric regressions. These indices represent different markets in terms of their institutional and balance sheet characteristics. The empirical results posit that stock market indices are generally difficult to predict accurately. However, our results reveal some point forecasting capacity for a 15-week horizon at the 95 per cent confidence level for the DJIA index, and for nine-week horizon at the 99 per cent confidence for the DJIM index, using the non-parametric regressions. On the other hand, the ratio of the correctly predicted signs (the success ratio) shows a percentage above 60 per cent for both indices which is evidence of predictability for those indices. This predictability is however statistically significant only four-weeks ahead for the DJIM case, and twelve weeks ahead for the DJIA as their respective success ratios differ significantly from the 50 percent, the expected percentage for an unpredictable time series. In sum, it seems that the forecastability of DJIM is slightly better than that of DJIA. This result on the forecastability of DJIM adds to its other findings in the literature that cast doubts on its suitability in hedging and asset allocation in portfolios that contain conventional stocks. 相似文献
12.
《International Journal of Forecasting》2023,39(2):884-900
We extend neural basis expansion analysis (NBEATS) to incorporate exogenous factors. The resulting method, called NBEATSx, improves on a well-performing deep learning model, extending its capabilities by including exogenous variables and allowing it to integrate multiple sources of useful information. To showcase the utility of the NBEATSx model, we conduct a comprehensive study of its application to electricity price forecasting tasks across a broad range of years and markets. We observe state-of-the-art performance, significantly improving the forecast accuracy by nearly 20% over the original NBEATS model, and by up to 5% over other well-established statistical and machine learning methods specialized for these tasks. Additionally, the proposed neural network has an interpretable configuration that can structurally decompose time series, visualizing the relative impact of trend and seasonal components and revealing the modeled processes’ interactions with exogenous factors. To assist related work, we made the code available in a dedicated repository. 相似文献
13.
当前水电管理改革需要进入更高级的阶段——水电管理商品化。高校的水电消耗和管理是一个很复杂的过程,与各单位的工作性质、环境、条件等诸多因素有关,有时指标量的核定并不能完全反映一个部门水电消耗的客观实际,所以单一地靠指标化管理已不尽完善,随着高校后勤社会化改革的进一步深入,水电管理商品化已成为必然的发展趋势。 相似文献