4 papers
Changes in electricity demand pattern in Europe due to COVID-19 shutdowns
Michał Narajewski, Florian Ziel
The article covers electricity demand shift effects due to COVID-19 shutdowns in various European countries. We utilize high-dimensional regression techniques to exploit the struct…
Ensemble Forecasting for Intraday Electricity Prices: Simulating Trajectories
Michał Narajewski, Florian Ziel
Recent studies concerning the point electricity price forecasting have shown evidence that the hourly German Intraday Continuous Market is weak-form efficient. Therefore, we take a…
Estimation and simulation of the transaction arrival process in intraday electricity markets
Michał Narajewski, Florian Ziel
We examine the novel problem of the estimation of transaction arrival processes in the intraday electricity markets. We model the inter-arrivals using multiple time-varying paramet…
Econometric modelling and forecasting of intraday electricity prices
Michał Narajewski, Florian Ziel
In the following paper, we analyse the ID-Price in the German Intraday Continuous electricity market using an econometric time series model. A multivariate approach is conducte…