Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration

Angelica Gianfreda, Francesco Ravazzolo and Luca Rossini

Papers from arXiv.org

Abstract: This paper compares alternative univariate versus multivariate models, 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 are 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 VAR specifications with exogenous variables dominate other multivariate and univariate specifications, in terms of both point and density forecasting.

Date: 2018-01, Revised 2019-11
New Economics Papers: this item is included in nep-ene, nep-for and nep-reg
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Comparing the forecasting performances of linear models for electricity prices with high RES penetration (2020)
Working Paper: Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1801.01093

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