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摘要翻译：
本文利用计量经济学时间序列模型分析了德国日内连续电力市场的ID$_3$-价格。每小时和每季度产品分别采用多元方法。我们使用套索和弹性网技术估计模型，并进行样本外、非常短期的预测研究。将该模型的性能与基准模型进行了比较，并对其进行了详细的讨论。预测结果为德国日内连续电力市场的效率和ID$_3$-价格行为提供了新的见解。
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英文标题：
《Econometric modelling and forecasting of intraday electricity prices》
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作者：
Micha{\l} Narajewski and Florian Ziel
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最新提交年份：
2019
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Statistics 统计学
二级分类：Applications 应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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英文摘要：
In the following paper, we analyse the ID$_3$-Price in the German Intraday Continuous electricity market using an econometric time series model. A multivariate approach is conducted for hourly and quarter-hourly products separately. We estimate the model using lasso and elastic net techniques and perform an out-of-sample, very short-term forecasting study. The model's performance is compared with benchmark models and is discussed in detail. Forecasting results provide new insights to the German Intraday Continuous electricity market regarding its efficiency and to the ID$_3$-Price behaviour.
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PDF链接：
https://arxiv.org/pdf/1812.09081
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