Title: Econometric modelling and forecasting of intraday electricity prices,
Abstract: In the following paper we analyse the ID$_3$-Price on 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.
The supplementary materials are available online.