Electricity Spot Prices Forecasting Using Stochastic Volatility Models

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The models developed are directly applicable to electricity spot price forecasting and risk management in electricity trading, which are important aspects of quantitative trading in energy markets.

The implementation involves complex Bayesian inference techniques and requires understanding of stochastic volatility models. However, the use of Stan simplifies some aspects of the implementation.

The paper provides detailed model specifications, Stan code, and references to data sources, enhancing reproducibility.