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Forecasting Italian Electricity Zonal Prices with Exogenous Variables

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  1. Özen, Kadir & Yıldırım, Dilem, 2021. "Application of bagging in day-ahead electricity price forecasting and factor augmentation," Energy Economics, Elsevier, vol. 103(C).
  2. Bertolini, Marina & D’Alpaos, Chiara & Moretto, Michele, 2016. "Investing in Photovoltaics: Timing, Plant Sizing and Smart Grids Flexibility," MITP: Mitigation, Innovation and Transformation Pathways 244540, Fondazione Eni Enrico Mattei (FEEM).
  3. F. Durante & A. Gatto & F. Ravazzolo, 2024. "Understanding relationships with the Aggregate Zonal Imbalance using copulas," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 33(2), pages 513-554, April.
  4. Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2023. "Large Time‐Varying Volatility Models for Hourly Electricity Prices," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 545-573, June.
  5. Lisi, Francesco & Pelagatti, Matteo M., 2018. "Component estimation for electricity market data: Deterministic or stochastic?," Energy Economics, Elsevier, vol. 74(C), pages 13-37.
  6. Nowotarski, Jakub & Weron, Rafał, 2018. "Recent advances in electricity price forecasting: A review of probabilistic forecasting," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 1548-1568.
  7. Figueiredo, Nuno Carvalho & Silva, Patrícia Pereira da & Bunn, Derek, 2016. "Weather and market specificities in the regional transmission of renewable energy price effects," Energy, Elsevier, vol. 114(C), pages 188-200.
  8. Cerasa, Andrea & Zani, Alessandro, 2025. "Enhancing electricity price forecasting accuracy: A novel filtering strategy for improved out-of-sample predictions," Applied Energy, Elsevier, vol. 383(C).
  9. Yuri Balagula, 2020. "Forecasting daily spot prices in the Russian electricity market with the ARFIMA model," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 89-101.
  10. Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafał, 2013. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," Energy Economics, Elsevier, vol. 39(C), pages 13-27.
  11. Billé, Anna Gloria & Gianfreda, Angelica & Del Grosso, Filippo & Ravazzolo, Francesco, 2023. "Forecasting electricity prices with expert, linear, and nonlinear models," International Journal of Forecasting, Elsevier, vol. 39(2), pages 570-586.
  12. Yan, Guan & Trück, Stefan, 2020. "A dynamic network analysis of spot electricity prices in the Australian national electricity market," Energy Economics, Elsevier, vol. 92(C).
  13. Gianfreda, Angelica & Ravazzolo, Francesco & Rossini, Luca, 2020. "Comparing the forecasting performances of linear models for electricity prices with high RES penetration," International Journal of Forecasting, Elsevier, vol. 36(3), pages 974-986.
  14. Bartosz Uniejewski & Jakub Nowotarski & Rafał Weron, 2016. "Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting," Energies, MDPI, vol. 9(8), pages 1-22, August.
  15. Mauro Bernardi & Francesco Lisi, 2020. "Point and Interval Forecasting of Zonal Electricity Prices and Demand Using Heteroscedastic Models: The IPEX Case," Energies, MDPI, vol. 13(23), pages 1-34, November.
  16. Bartosz Uniejewski & Rafał Weron, 2018. "Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models," Energies, MDPI, vol. 11(8), pages 1-26, August.
  17. Zachmann, Georg, 2013. "A stochastic fuel switching model for electricity prices," Energy Economics, Elsevier, vol. 35(C), pages 5-13.
  18. Weron, Rafał & Zator, Michał, 2015. "A note on using the Hodrick–Prescott filter in electricity markets," Energy Economics, Elsevier, vol. 48(C), pages 1-6.
  19. Clò, Stefano & Cataldi, Alessandra & Zoppoli, Pietro, 2015. "The merit-order effect in the Italian power market: The impact of solar and wind generation on national wholesale electricity prices," Energy Policy, Elsevier, vol. 77(C), pages 79-88.
  20. Bianco, Vincenzo & Scarpa, Federico & Tagliafico, Luca A., 2015. "Long term outlook of primary energy consumption of the Italian thermoelectric sector: Impact of fuel and carbon prices," Energy, Elsevier, vol. 87(C), pages 153-164.
  21. Grossi, Luigi & Nan, Fany, 2019. "Robust forecasting of electricity prices: Simulations, models and the impact of renewable sources," Technological Forecasting and Social Change, Elsevier, vol. 141(C), pages 305-318.
  22. Weron, Rafał, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," International Journal of Forecasting, Elsevier, vol. 30(4), pages 1030-1081.
  23. Fianu, Emmanuel Senyo & Ahelegbey, Daniel Felix & Grossi, Luigi, 2022. "Modeling risk contagion in the Italian zonal electricity market," European Journal of Operational Research, Elsevier, vol. 298(2), pages 656-679.
  24. Lisi, Francesco & Nan, Fany, 2014. "Component estimation for electricity prices: Procedures and comparisons," Energy Economics, Elsevier, vol. 44(C), pages 143-159.
  25. Beltrami, Filippo & Burlinson, Andrew & Giulietti, Monica & Grossi, Luigi & Rowley, Paul & Wilson, Grant, 2020. "Where did the time (series) go? Estimation of marginal emission factors with autoregressive components," Energy Economics, Elsevier, vol. 91(C).
  26. Auer, Benjamin R., 2016. "How does Germany's green energy policy affect electricity market volatility? An application of conditional autoregressive range models," Energy Policy, Elsevier, vol. 98(C), pages 621-628.
  27. Mulder, Machiel & Schoonbeek, Lambert, 2013. "Decomposing changes in competition in the Dutch electricity market through the residual supply index," Energy Economics, Elsevier, vol. 39(C), pages 100-107.
  28. Daniel Felix Ahelegbey & Roberto Casarin & Emmanuel Senyo Fianu & Luigi Grossi, 2025. "Structural changes in contagion channels: the impact of COVID-19 on the Italian electricity market," Annals of Operations Research, Springer, vol. 345(2), pages 1035-1060, February.
  29. Luigi Grossi & Fany Nan, 2017. "Forecasting electricity prices through robust nonlinear models," Working Papers 06/2017, University of Verona, Department of Economics.
  30. Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 2013. "Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices," HSC Research Reports HSC/13/02, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  31. Castellini, Marta & Di Corato, Luca & Moretto, Michele & Vergalli, Sergio, 2021. "Energy exchange among heterogeneous prosumers under price uncertainty," Energy Economics, Elsevier, vol. 104(C).
  32. Sapio, Alessandro, 2019. "Greener, more integrated, and less volatile? A quantile regression analysis of Italian wholesale electricity prices," Energy Policy, Elsevier, vol. 126(C), pages 452-469.
  33. Angelica, Gianfreda & Lucia, Parisio & Matteo, Pelagatti, 2017. "The RES-induced Switching Effect Across Fossil Fuels: An Analysis of the Italian Day-Ahead and Balancing Prices and Their Connected Costs," Working Papers 360, University of Milano-Bicocca, Department of Economics, revised 03 Feb 2017.
  34. Beltrami, Filippo & Fontini, Fulvio & Grossi, Luigi, 2021. "The value of carbon emission reduction induced by Renewable Energy Sources in the Italian power market," Ecological Economics, Elsevier, vol. 189(C).
  35. Andreolli, Francesca & D’Alpaos, Chiara & Moretto, Michele, 2022. "Valuing investments in domestic PV-Battery Systems under uncertainty," Energy Economics, Elsevier, vol. 106(C).
  36. Vincenzo Bianco, 2018. "The Future of the Italian Electricity Generation Sector. An Analysis of the Possible Strategic Models," Foresight and STI Governance (Foresight-Russia till No. 3/2015), National Research University Higher School of Economics, vol. 12(3), pages 20-28.
  37. Silvia Golia & Luigi Grossi & Matteo Pelagatti, 2022. "Machine Learning Models and Intra-Daily Market Information for the Prediction of Italian Electricity Prices," Forecasting, MDPI, vol. 5(1), pages 1-21, December.
  38. Ziel, Florian & Weron, Rafał, 2018. "Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks," Energy Economics, Elsevier, vol. 70(C), pages 396-420.
  39. Bigerna, Simona, 2018. "Estimating temperature effects on the Italian electricity market," Energy Policy, Elsevier, vol. 118(C), pages 257-269.
  40. Ismail Shah & Hasnain Iftikhar & Sajid Ali & Depeng Wang, 2019. "Short-Term Electricity Demand Forecasting Using Components Estimation Technique," Energies, MDPI, vol. 12(13), pages 1-17, July.
  41. Genc, Talat S., 2016. "Measuring demand responses to wholesale electricity prices using market power indices," Energy Economics, Elsevier, vol. 56(C), pages 247-260.
  42. Martin-Valmayor, Miguel A. & Gil-Alana, Luis A. & Infante, Juan, 2023. "Energy prices in Europe. Evidence of persistence across markets," Resources Policy, Elsevier, vol. 82(C).
  43. Sapio, Alessandro & Spagnolo, Nicola, 2020. "The effect of a new power cable on energy prices volatility spillovers," Energy Policy, Elsevier, vol. 144(C).
  44. repec:dgr:rugsom:13003-eef is not listed on IDEAS
  45. Sergei Kulakov, 2020. "X-Model: Further Development and Possible Modifications," Forecasting, MDPI, vol. 2(1), pages 1-16, February.
  46. Angelica Gianfreda, Lucia Parisio, and Matteo Pelagatti, 2019. "The RES-Induced Switching Effect Across Fossil Fuels: An Analysis of Day-Ahead and Balancing Prices," The Energy Journal, International Association for Energy Economics, vol. 0(The New E).
  47. Faddy Ardian & Silvia Concettini & Anna Creti, 2015. "Intermittent renewable generation and network congestion: an empirical analysis of Italian Power Market," Working Papers hal-01218543, HAL.
  48. Sapio, Alessandro, 2015. "The effects of renewables in space and time: A regime switching model of the Italian power price," Energy Policy, Elsevier, vol. 85(C), pages 487-499.
  49. Dagoumas, Athanasios S. & Koltsaklis, Nikolasos E. & Panapakidis, Ioannis P., 2017. "An integrated model for risk management in electricity trade," Energy, Elsevier, vol. 124(C), pages 350-363.
  50. Chen, Ying & Chua, Wee Song & Koch, Thorsten, 2018. "Forecasting day-ahead high-resolution natural-gas demand and supply in Germany," Applied Energy, Elsevier, vol. 228(C), pages 1091-1110.
  51. Di Cosmo, Valeria, 2015. "Forward Price, Renewables and the Electricity Price: The Case of Italy," Papers WP511, Economic and Social Research Institute (ESRI).
  52. Brusaferri, Alessandro & Matteucci, Matteo & Portolani, Pietro & Vitali, Andrea, 2019. "Bayesian deep learning based method for probabilistic forecast of day-ahead electricity prices," Applied Energy, Elsevier, vol. 250(C), pages 1158-1175.
  53. Ciarreta, Aitor & Zarraga, Ainhoa, 2016. "Modeling realized volatility on the Spanish intra-day electricity market," Energy Economics, Elsevier, vol. 58(C), pages 152-163.
  54. Bigerna, Simona & Andrea Bollino, Carlo & Polinori, Paolo, 2015. "Marginal cost and congestion in the Italian electricity market: An indirect estimation approach," Energy Policy, Elsevier, vol. 85(C), pages 445-454.
  55. Castellini, Marta & Menoncin, Francesco & Moretto, Michele & Vergalli, Sergio, 2021. "Photovoltaic Smart Grids in the prosumers investment decisions: a real option model," Journal of Economic Dynamics and Control, Elsevier, vol. 126(C).
  56. Mosquera-López, Stephania & Uribe, Jorge M. & Joaqui-Barandica, Orlando, 2024. "Weather conditions, climate change, and the price of electricity," Energy Economics, Elsevier, vol. 137(C).
  57. Simona Bigerna, Carlo Andrea Bollino and Paolo Polinori, 2016. "Market Power and Transmission Congestion in the Italian Electricity Market," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
  58. Florian Ziel & Rafal Weron, 2016. "Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models," HSC Research Reports HSC/16/08, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  59. Luigi Grossi & Fany Nan, 2018. "The influence of renewables on electricity price forecasting: a robust approach," Working Papers 2018/10, Institut d'Economia de Barcelona (IEB).
  60. Sirin, Selahattin Murat & Yilmaz, Berna N., 2020. "Variable renewable energy technologies in the Turkish electricity market: Quantile regression analysis of the merit-order effect," Energy Policy, Elsevier, vol. 144(C).
  61. Avesani, Diego & Zanfei, Ariele & Di Marco, Nicola & Galletti, Andrea & Ravazzolo, Francesco & Righetti, Maurizio & Majone, Bruno, 2022. "Short-term hydropower optimization driven by innovative time-adapting econometric model," Applied Energy, Elsevier, vol. 310(C).
  62. Anne Opschoor & Dewi Peerlings & Luca Rossini & Andre Lucas, 2024. "Density Forecasting for Electricity Prices under Tail Heterogeneity with the t-Riesz Distribution," Tinbergen Institute Discussion Papers 24-049/III, Tinbergen Institute.
  63. Ilaria Lucrezia Amerise & Agostino Tarsitano, 2020. "An L1 smoother for outlier cleaning of time series," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 9(1), pages 1-3.
  64. Andrea Cervone & Ezio Santini & Sabrina Teodori & Donatella Zaccagnini Romito, 2014. "Electricity Price Forecast: a Comparison of Different Models to Evaluate the Single National Price in the Italian Energy Exchange Market," International Journal of Energy Economics and Policy, Econjournals, vol. 4(4), pages 744-758.
  65. Sapio, Alessandro & Spagnolo, Nicola, 2016. "Price regimes in an energy island: Tacit collusion vs. cost and network explanations," Energy Economics, Elsevier, vol. 55(C), pages 157-172.
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