5 papers
Model selection confidence sets for time series models with applications to electricity load data
Piersilvio De Bortoli, Davide Ferrari, Francesco Ravazzolo +1
This paper studies the Model Selection Confidence Set (MSCS) methodology for univariate time series models involving autoregressive and moving average components, and applies it to…
Modeling European Electricity Market Integration during turbulent times
Francesco Ravazzolo, Luca Rossini, Andrea Viselli
This paper introduces a novel Bayesian reverse unrestricted mixed-frequency model applied to a panel of nine European electricity markets. Our model analyzes the impact of daily fo…
A Multivariate Dependence Analysis for Electricity Prices, Demand and Renewable Energy Sources
Fabrizio Durante, Angelica Gianfreda, Francesco Ravazzolo +1
This paper examines the dependence between electricity prices, demand, and renewable energy sources by means of a multivariate copula model {while studying Germany, the widest stud…
Are low frequency macroeconomic variables important for high frequency electricity prices?
Claudia Foroni, Francesco Ravazzolo, Luca Rossini
Recent research finds that forecasting electricity prices is very relevant. In many applications, it might be interesting to predict daily electricity prices by using their own lag…
Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration
Angelica Gianfreda, Francesco Ravazzolo, Luca Rossini
This paper compares alternative univariate versus multivariate models, frequentist versus Bayesian autoregressive and vector autoregressive specifications, for hourly day-ahead ele…