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Energy risk management through self-exciting marked point process
Herrera, Rodrigo - In: Energy economics 38 (2013), pp. 64-76
Persistent link: https://www.econbiz.de/10009763643
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Forecasting energy market volatility using GARCH models : can multivariate models beat univariate models?
Wang, Yudong; Wu, Chongfeng - In: Energy economics 34 (2012) 6, pp. 2167-2181
Persistent link: https://www.econbiz.de/10009688795
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Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets' volatility
Baruník, Jozef; Křehlík, Tomáš - 2014
attracted attention in the literature on the price variability of energy markets. However, results that would guide … the ongoing debate with a comprehensive evaluation of multiple-step-ahead volatility forecasts of energy markets using …
Persistent link: https://www.econbiz.de/10010429924
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Regression tree model versus Markov regime switching : a comparison for electricity spot price modelling and forecasting
Samitas, Aristeidis; Armenatzoglou, Aggelos - In: Operational research : an international journal 14 (2014) 3, pp. 319-340
Persistent link: https://www.econbiz.de/10010413087
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Vergleichende Analyse ökonometrischer Modelle zur kurzfristigen Elektrizitätslastprognose
Plinta, Eva - 2013
Persistent link: https://www.econbiz.de/10010394206
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A fractional Brownian-Hawkes model for the Italian electricity spot market : estimation and forecasting
Giordano, Luca M.; Morale, Daniela - In: The journal of energy markets 14 (2021) 3, pp. 65-109
Persistent link: https://www.econbiz.de/10012805344
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Probabilistic forecasting in day-ahead electricity markets : simulating peak and off-peak prices
Muniain, Peru; Ziel, Florian - In: International journal of forecasting 36 (2020) 4, pp. 1193-1210
Persistent link: https://www.econbiz.de/10012546078
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The Oxford handbook of economic forecasting
Clements, Michael P. (ed.); Hendry, David F. (ed.) - 2011
Greater data availability has been coupled with developments in statistical theory and economic theory to allow more …
Persistent link: https://www.econbiz.de/10012669772
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Coupling High-Frequency Data with Nonlinear Models in Multiple-Step-Ahead Forecasting of Energy Markets' Volatility
Baruník, Jozef - 2015
attracted attention in the literature on the price variability of energy markets. However, results that would guide … the ongoing debate with a comprehensive evaluation of multiple-step-ahead volatility forecasts of energy markets using …
Persistent link: https://www.econbiz.de/10013033742