Before revision: This paper compares alternative univariate versus multivariate models, frequentist versus Bayesian autoregressive and vector autoregressive specifications  for hourly day-ahead electricity prices,  with and without renewable energy sources (RES) . 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.
After revision: 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 (RES) . 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.