Patton and Timmermann (2011, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', Journal of Business & Economic … Statistics, forthcoming) propose a set of useful tests for forecast rationality or optimality under squared error loss, including …

wholesale power markets have only recently been deregulated. We introduce the weather factor into well-known forecasting models … forecasts improves the forecast accuracy, and in particular new models with power transformations of weather forecast variables …

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 …

of point and density forecasting. The relative accuracy is higher when the full distribution is predicted. We also … market. …