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econ.EM2026
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…
econ.EM2025
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…
econ.EM2018
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…