Add to ORKGWe analyse the importance of macroeconomic information, such as industrial production index and oil price, for forecasting daily electricity prices in two of the main European markets, Germany and Italy. We do that by means of mixed-frequency models, introducing a Bayesian approach to reverse unrestricted MIDAS models (RU-MIDAS). We study the forecasting accuracy for different horizons (from 1 day ahead to 28 days ahead) and by considering different specifications of the models. We find gains around 20% at short horizons and around 10% at long horizons. Therefore, it turns out that the macroeconomic low frequency variables are more important for short horizons than for longer horizons. The benchmark is almost never included in the model con...
In the last decades, electricity markets throughout the Eurozone have undergone substantial changes....
This paper focuses on the day-ahead forecasting performance of some models for hourly electricity sp...
This paper provides a focus upon forecasting electricity prices in the medium term (from a few weeks...
This paper compares alternative univariate versus multivariate models, probabilistic versus Bayesian...
We compare alternative univariate versus multivariate models and frequentist versus Bayesian autoreg...
The thesis addresses two types of forecasting problems arising in the electricity market: the long- ...
In this paper we assess how intra-day electricity prices can improve the prediction of zonal day-ahe...
In this paper we present an extensive comparison of four different classes of models for daily forec...
Abstract—Short-run forecasting of electricity prices has become necessary for power generation unit ...
In the context of the liberalization of electricity markets, forecasting prices is essential. With ...
In this paper we present an extensive comparison of four different classes of models for daily forec...
In the context of the liberalization of electricity markets, forecasting prices is essential. With t...
This article presents original Probabilistic Price Forecasting Models, for day-ahead hourly price fo...
Available online: 12 September 2015In the context of competitive electricity markets, medium-term pr...
Short-run forecasting of electricity prices has become necessary for power generation unit schedule,...
In the last decades, electricity markets throughout the Eurozone have undergone substantial changes....
This paper focuses on the day-ahead forecasting performance of some models for hourly electricity sp...
This paper provides a focus upon forecasting electricity prices in the medium term (from a few weeks...
This paper compares alternative univariate versus multivariate models, probabilistic versus Bayesian...
We compare alternative univariate versus multivariate models and frequentist versus Bayesian autoreg...
The thesis addresses two types of forecasting problems arising in the electricity market: the long- ...
In this paper we assess how intra-day electricity prices can improve the prediction of zonal day-ahe...
In this paper we present an extensive comparison of four different classes of models for daily forec...
Abstract—Short-run forecasting of electricity prices has become necessary for power generation unit ...
In the context of the liberalization of electricity markets, forecasting prices is essential. With ...
In this paper we present an extensive comparison of four different classes of models for daily forec...
In the context of the liberalization of electricity markets, forecasting prices is essential. With t...
This article presents original Probabilistic Price Forecasting Models, for day-ahead hourly price fo...
Available online: 12 September 2015In the context of competitive electricity markets, medium-term pr...
Short-run forecasting of electricity prices has become necessary for power generation unit schedule,...
In the last decades, electricity markets throughout the Eurozone have undergone substantial changes....
This paper focuses on the day-ahead forecasting performance of some models for hourly electricity sp...
This paper provides a focus upon forecasting electricity prices in the medium term (from a few weeks...