We compare alternative univariate versus multivariate models and frequentist versus Bayesian autoregressive and vector autoregressive specifications for hourly day-ahead electricity prices, both with and without renewable energy sources. The accuracy of point and density forecasts is inspected in four main European markets (Germany, Denmark, Italy, and Spain) characterized by different levels of renewable energy power generation. Our results show that the Bayesian vector autoregressive specifications with exogenous variables dominate other multivariate and univariate specifications in terms of both point forecasting and density forecasting.

Comparing the forecasting performances of linear models for electricity prices with high RES penetration / A. Gianfreda, F. Ravazzolo, L. Rossini. - In: INTERNATIONAL JOURNAL OF FORECASTING. - ISSN 0169-2070. - 36:3(2020), pp. 974-986.

Comparing the forecasting performances of linear models for electricity prices with high RES penetration

L. Rossini
2020

Abstract

We compare alternative univariate versus multivariate models and frequentist versus Bayesian autoregressive and vector autoregressive specifications for hourly day-ahead electricity prices, both with and without renewable energy sources. The accuracy of point and density forecasts is inspected in four main European markets (Germany, Denmark, Italy, and Spain) characterized by different levels of renewable energy power generation. Our results show that the Bayesian vector autoregressive specifications with exogenous variables dominate other multivariate and univariate specifications in terms of both point forecasting and density forecasting.
Demand; Electricity markets; Fossil fuels; Hourly prices; Point and density forecasting; Renewable energy sources
Settore SECS-P/05 - Econometria
Article (author)
File in questo prodotto:
File Dimensione Formato  
1-s2.0-S0169207019302596-main.pdf

accesso aperto

Tipologia: Publisher's version/PDF
Dimensione 711.14 kB
Formato Adobe PDF
711.14 kB Adobe PDF Visualizza/Apri
Pubblicazioni consigliate

Caricamento pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/833759
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 18
  • ???jsp.display-item.citation.isi??? 15
social impact