[HTML][HTML] Electricity price forecasting: A review of the state-of-the-art with a look into the future
R Weron - International journal of forecasting, 2014 - Elsevier
A variety of methods and ideas have been tried for electricity price forecasting (EPF) over the
last 15 years, with varying degrees of success. This review article aims to explain the …
last 15 years, with varying degrees of success. This review article aims to explain the …
Recent advances in electricity price forecasting: A review of probabilistic forecasting
J Nowotarski, R Weron - Renewable and Sustainable Energy Reviews, 2018 - Elsevier
Since the inception of competitive power markets two decades ago, electricity price
forecasting (EPF) has gradually become a fundamental process for energy companies' …
forecasting (EPF) has gradually become a fundamental process for energy companies' …
[BOOK][B] Value at risk: the new benchmark for managing financial risk
P Jorion - 2007 - thuvienso.hoasen.edu.vn
Since its original publication, Value at Risk has become the industry standard in risk
management. Now in its Third Edition, this international bestseller addresses the …
management. Now in its Third Edition, this international bestseller addresses the …
Evaluating interval forecasts
PF Christoffersen - International economic review, 1998 - JSTOR
A complete theory for evaluating interval forecasts has not been worked out to date. Most of
the literature implicitly assumes homoskedastic errors even when this is clearly violated, and …
the literature implicitly assumes homoskedastic errors even when this is clearly violated, and …
Uncertainty as a form of transparency: Measuring, communicating, and using uncertainty
Algorithmic transparency entails exposing system properties to various stakeholders for
purposes that include understanding, improving, and contesting predictions. Until now, most …
purposes that include understanding, improving, and contesting predictions. Until now, most …
[PDF][PDF] Procyclicality of the financial system and financial stability: issues and policy options
C Borio, C Furfine, P Lowe - BIS papers, 2001 - Citeseer
In recent decades, developments in the financial sector have played a major role in shaping
macroeconomic outcomes in a wide range of countries. Financial developments have …
macroeconomic outcomes in a wide range of countries. Financial developments have …
[BOOK][B] Measuring market risk
K Dowd - 2007 - books.google.com
Fully revised and restructured, Measuring Market Risk, Second Edition includes a new
chapter on options risk management, as well as substantial new information on parametric …
chapter on options risk management, as well as substantial new information on parametric …
Systemic risk measurement: Multivariate GARCH estimation of CoVaR
G Girardi, AT Ergün - Journal of Banking & Finance, 2013 - Elsevier
We modify Adrian and Brunnermeier's (2011) CoVaR, the VaR of the financial system
conditional on an institution being in financial distress. We change the definition of financial …
conditional on an institution being in financial distress. We change the definition of financial …
[HTML][HTML] The impact of sentiment and attention measures on stock market volatility
We analyze the impact of sentiment and attention variables on the stock market volatility by
using a novel and extensive dataset that combines social media, news articles, information …
using a novel and extensive dataset that combines social media, news articles, information …
[BOOK][B] Elements of financial risk management
P Christoffersen - 2011 - books.google.com
The Second Edition of this best-selling book expands its advanced approach to financial risk
models by covering market, credit, and integrated risk. With new data that cover the recent …
models by covering market, credit, and integrated risk. With new data that cover the recent …