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Forecasting Italian electricity zonal prices with exogenous variables

Gianfreda, Angelica; Grossi, Luigi - In: Energy Economics 34 (2012) 6, pp. 2228-2239

In the last few years we have observed the deregulation in electricity markets and an increasing interest in price dynamics has been developed especially to consider all stylized facts shown by spot prices. Only few papers have considered the Italian Electricity Spot market since it has been...

Persistent link: https://www.econbiz.de/10010588002

Analyzing financial time series through robust estimators

Grossi, Luigi (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 8 (2004) 2

Persistent link: https://www.econbiz.de/10002651679

Analyzing financial time series through robust estimators

Grossi, Luigi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 8 (2004) 2

Persistent link: https://www.econbiz.de/10009949807

Comparing the forecasting performances of linear models for electricity prices with high RES penetration

Gianfreda, Angelica; Ravazzolo, Francesco; Rossini, Luca - In: International journal of forecasting 36 (2020) 3, pp. 974-986

Persistent link: https://www.econbiz.de/10012497125

A stochastic latent moment model for electricity price formation

Gianfreda, Angelica; Bunn, Derek W. - In: Operations research 66 (2018) 5, pp. 1189-1203

Persistent link: https://www.econbiz.de/10011932421

Measuring model risk in the European Energy Exchange

Gianfreda, Angelica; Scandolo, Giacomo - In: Handbook of recent advances in commodity and financial …, (pp. 89-110). 2018

Persistent link: https://www.econbiz.de/10011898620

Forecasting electricity prices with expert, linear, and nonlinear models

Billé, Anna Gloria; Gianfreda, Angelica; Del Grosso, … - In: International journal of forecasting 39 (2023) 2, pp. 570-586

Persistent link: https://www.econbiz.de/10014465069

Higher moments in the fundamental specification of electricity forward prices

Gianfreda, Angelica; Scandolo, Giacomo; Bunn, Derek W. - In: Quantitative finance 22 (2022) 11, pp. 2063-2078

Persistent link: https://www.econbiz.de/10013490922

Testing for integration and cointegration when time series are observed with noise

Gianfreda, Angelica; Maranzano, Paolo; Parisio, Lucia; … - In: Economic modelling 125 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014463618

Large time-varying volatility models for hourly electricity prices

Gianfreda, Angelica; Ravazzolo, Francesco; Rossini, Luca - In: Oxford bulletin of economics and statistics 85 (2023) 3, pp. 545-573

Persistent link: https://www.econbiz.de/10014304428