The power of weather

CI Huurman, F Ravazzolo, Chen Zhou

Research output: Contribution to journalArticleAcademicpeer-review

38 Citations (Scopus)


Weather information demonstrates predictive power in forecasting electricity prices in day-ahead markets in real time. In particular, next-day weather forecasts improve the forecast accuracy of Scandinavian day-ahead electricity prices in terms of point and density forecasts. This suggests that weather forecasts can price the weather premium on electricity prices. By augmenting with weather forecasts, GARCH-type time-varying volatility models statistically outperform specifications which ignore this information in density forecasting.
Original languageEnglish
Pages (from-to)3793-3807
Number of pages15
JournalComputational Statistics & Data Analysis
Issue number11
Publication statusPublished - 2012


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