Forecasting Nord Pool day-ahead prices with an autoregressive model

► Forecasting Nord Pool day-ahead prices with an autoregressive model. ► The model is based on Weron and Misiorek (2008) but with the set of parameters reduced from 24 to 1. ► The model includes Nordic demand and Danish wind power as exogenous variables. ► Hourly mean absolute percentage error ranges from 8% to 11%. ► Out of sample results yields a WMAE and an hourly MAPE of around 5%.