Angelica Gianfreda, Francesco Ravazzolo, Luca Rossini
arXiv 3 Jan 2018 · Econometrics · publishedInternational Journal of Forecasting (2020) · 51 citations (OpenAlex)
arXiv:1801.01093 · PDF · DOI · OpenAlex · Extracted main text
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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Raviv, E., Bouwman, K. E., and van Dijk, D (2015) Forecasting day-ahead electricity prices: Utilizing hourly prices | 0.843 | 3 | 3 | 100% |
| 2 | Ziel, F. and Weron, R (2018) Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks | 0.737 | 3 | 2 | 100% |
| 3 | Bunn, D. W., Gianfreda, A., and Kermer, S (2018) A trading-based evaluation of density forecasts in a real-time electricity market self | 0.644 | 2 | 2 | 100% |
| 4 | Stock and Watson (2002) Forecasting using principal components from a large number of predictors | 0.644 | 2 | 2 | 100% |
| 5 | Gianfreda, A., Parisio, L., and Pelagatti, M (2018) A review of balancing costs in Italy before and after RES introduction self | 0.511 | 2 | 1 | 100% |
| 6 | Hirth, L. and Ziegenhagen, I (2015) Balancing power and variable renewables: Three links | 0.511 | 2 | 1 | 100% |
| 7 | Maciejowska, K. and Weron, R (2015) Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships | 0.511 | 2 | 1 | 100% |
| 8 | Misiorek, A., Trueck, S., and Weron, R (2006) Point and interval forecasting of spot electricity prices: linear vs. non-linear time series models | 0.511 | 2 | 1 | 100% |
| 9 | Amisano, G. and Giacomini, R (2007) Comparing density forecasts via weighted likelihood ratio tests | 0.405 | 1 | 1 | 100% |
| 10 | Andrews, D. and Monahan, J (1992) An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator | 0.405 | 1 | 1 | 100% |
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