The lunch is served at 12:00, while the talk starts at 12:15.

Speaker: Francesco Ravazzolo (Head of the Department of Data Science and Analytics at BI Norwegian Business School)

Location: NR (Spiseriet, Kristen Nygaards hus, Gaustadalleen 23a)and Zoom.

Title: Forecasting Electricity Prices

Abstract: This work reviews the importance of using large set of fundamental drivers, time-varying volatility, and non-Gaussian errors in modeling and forecasting hourly electricity prices. This contributes to the literature by using well-known time series models in a huge dimension for the matrix of coefficients. Evidence shows that regressors such as fuel prices, forecasted demand, and forecasted renewable energy are essential in order to properly capture the volatility of electricity prices. Moreover, time-varying volatility models outperform the constant volatility models in both the in-sample model fit and the out-of-sample forecasting performance.

The work will be a summary of these three papers:

https://www.sciencedirect.com/science/article/pii/S0169207019302596?via%3Dihub

https://www.sciencedirect.com/science/article/pii/S0169207022000036

https://biopen.bi.no/bi-xmlui/handle/11250/2660739

and if I have time, I will also propose ideas based on this one:

https://www.sciencedirect.com/science/article/pii/S0140988321001730?via%3Dihub

Join Zoom Meeting:
https://uio.zoom.us/j/63199595088?pwd=Y05GYkJwR1dCUHFhUnlGMFpsdGc3UT09

Meeting ID: 631 9959 5088
Passcode: 302551

Welcome!
Best regards,
Thea Roksvåg and Lars Henry Berge Olsen.