  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.
