[经济学] 电力系统线性模型预测性能的比较 高分辨率的价格 [推广有奖]

摘要翻译：
本文比较了不同的单变量与多元模型、频率自回归与贝叶斯自回归模型和向量自回归模型在有可再生能源和无可再生能源的情况下对每小时前电价的影响。在可再生能源发电水平不同的四个主要欧洲市场（德国、丹麦、意大利和西班牙）对点和密度预测的准确性进行了检查。我们的结果表明，在点预测和密度预测方面，具有外生变量的贝叶斯VAR规范在其他多元和单变量规范中占据主导地位。
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英文标题：
《Comparing the Forecasting Performances of Linear Models for Electricity
  Prices with High RES Penetration》
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作者：
Angelica Gianfreda and Francesco Ravazzolo and Luca Rossini
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最新提交年份：
2019
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分类信息：

一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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英文摘要：
  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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PDF链接：
https://arxiv.org/pdf/1801.01093