Titolo completo: Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration
Relatore: Luca Rossini - University of Bozen/Bolzano
Abstract: This paper compares alternative univariate versus multivariate models, probabilistic versus Bayesian autoregressive and vector autoregressive specifications for hourly day-ahead electricity prices, 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.
Dipartimento di Economia (InSeminars)