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Impacts of day-ahead versus real-time market prices on wholesale electricity demand in Texas

Damien, Paul; Fuentes-García, Ruth; Mena, Ramsés H.; … - In: Energy economics 81 (2019), pp. 259-272

Persistent link: https://www.econbiz.de/10012172703

Volatility predictability in crude oil futures : evidence based on OVX, GARCH and stochastic volatility models

Zhang, Zheng; Raza, Muhammad Yousaf; Wang, Wenxue; Sui, Lu - In: Energy strategy reviews 50 (2023), pp. 1-12

and WTI in America are compared. OVX index is able to provide the optimal forecast for the volatility of Brent's future …

Persistent link: https://www.econbiz.de/10014574074

Probabilistic forecasting of industrial electricity load with regime switching behavior

Berk, K.; Hoffmann, A.; Müller, A. - In: International journal of forecasting 34 (2018) 2, pp. 147-162

Persistent link: https://www.econbiz.de/10012030887

Forecasting high-frequency electricity demand with a diffusion index model

Pons Rotger, Gabriel (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003385236

Lasso estimation for GEFCom2014 probabilistic electric load forecasting

Ziel, Florian; Liu, Bidong - In: International journal of forecasting 32 (2016) 3, pp. 1029-1037

Persistent link: https://www.econbiz.de/10011621989

Does the macroeconomy predict UK asset returns in an nonlinear fashion? : comprehensive out-of-sample evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2010

We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...

Persistent link: https://www.econbiz.de/10008990694

Improving market-based forecasts of short-term interest rates : time-varying stationarity and the predictive content of switching regime-expectations

Ahrens, Ralf - 1999

multi-step out-of-sample forecasting competition. It turns out that forecasts are improved substantially when allowing for …

Persistent link: https://www.econbiz.de/10009768272

Improving inference and forecasting in VAR models using cross-sectional information

Prüser, Jan; Blagov, Boris - 2022

shrinkage towards zero to address overfitting concerns. The prior is flexible as it detects shared dynamics of individual … pooling with zero shrinkage delivers sharper parameter inference that improves point and density forecasts over only zero … shrinkage or only pooling specifications, and helps with structural analysis by lowering the estimation uncertainty. …

Persistent link: https://www.econbiz.de/10013359163

Forecasting energy commodity prices : a large global dataset sparse approach

Ferrario, Davide L.; Ravazzolo, Francesco; Vespignani, … - 2019

Persistent link: https://www.econbiz.de/10012175973

Forecasting energy commodity prices : a large global dataset sparse approach

Ferrari, Davide; Ravazzolo, Francesco; Vespignani, Joaquin - 2019

Persistent link: https://www.econbiz.de/10012224686