Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Are low frequency macroeconomic variables important for high frequency
  electricity prices?   We analyse the importance of low frequency hard and soft macroeconomic
information, respectively the industrial production index and the manufacturing
Purchasing Managers' Index surveys, for forecasting high-frequency 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). Despite the general parsimonious
structure of standard MIDAS models, the RU-MIDAS has a large set of parameters
when several predictors are considered simultaneously and Bayesian inference is
useful for imposing parameter restrictions. We study the forecasting accuracy
for different horizons (from $1$ day ahead to $28$ days ahead) and by
considering different specifications of the models. Results indicate that the
macroeconomic low frequency variables are more important for short horizons
than for longer horizons. Moreover, accuracy increases by combining hard and
soft information, and using only surveys gives less accurate forecasts than
using only industrial production data.

25
The categories of this paper are: patt-sol
12
The categories of this paper are: nucl-th
37
The categories of this paper are: supr-con
0
The categories of this paper are: hep-ph
6
The categories of this paper are: astro-ph
29
The categories of this paper are: funct-an
14
The categories of this paper are: math-ph
16
The categories of this paper are: stat
28
The categories of this paper are: alg-geom
21
The categories of this paper are: adap-org
8
The categories of this paper are: hep-ex
7
The categories of this paper are: hep-th
35
The categories of this paper are: mtrl-th
3
The categories of this paper are: physics
13
The categories of this paper are: quant-ph
23
The categories of this paper are: solv-int