[Statlist] Research Seminar in Statistics *FRIDAY 4 OCTOBER 2019* GSEM, University of Geneva

[gsem-support-instituts]

Dear All,

We are pleased to invite you to our next Research Seminar.

Looking forward to seeing you


Organizers :
E. Cantoni - S. Engelke - D. La Vecchia - E. Ronchetti
S. Sperlich - F. Trojani - M.-P. Victoria-Feser


FRIDAY 4 OCTOBER 2019 at 11:15am, Uni-Mail M 5220

Forecasting Daily Electricity Prices with Monthly Macroeconomic Variables
Francesco RAVAZZOLO - Free University of Bozen-Bolzano, Italy

ABSTRACT:
We analyze 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 confidence set.

Link to the paper:
https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2250~385ac2bca5.en.pdf?8390b46b1eee512060a7a1a170ccb6c3


Visit the website: https://www.unige.ch/gsem/en/research/seminars/rcs/