Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration
Angelica Gianfreda (),
Francesco Ravazzolo () and
Papers from arXiv.org
This paper compares alternative univariate versus multivariate models, frequentist versus Bayesian autoregressive and vector autoregressive specifications for hourly day-ahead electricity prices, with and without renewable energy sources (RES). 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.
New Economics Papers: this item is included in nep-ene, nep-for and nep-reg
Date: 2018-01, Revised 2018-12
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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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