Blar i BI Open på forfatter "Gianfreda, Angelica"
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Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration
Gianfreda, Angelica; Ravazzolo, Francesco; Rossini, Luca (CAMP Working Paper Series;2, Working paper, 2018-01)This paper compares alternative univariate versus multivariate models, probabilistic versus Bayesian autoregressive and vector autoregressive specifications for hourly day-ahead electricity prices, with and without ... -
Comparing the forecasting performances of linear models for electricity prices with high RES penetration
Gianfreda, Angelica; Ravazzolo, Francesco; Rossini, Luca (Journal article; Peer reviewed, 2020)We compare alternative univariate versus multivariate models and frequentist versus Bayesian autoregressive and vector autoregressive specifications for hourly day-ahead electricity prices, both with and without renewable ... -
Forecasting electricity prices with expert, linear, and nonlinear models
Billé, Anna Gloria; Gianfreda, Angelica; Del Grosso, Filippo; Ravazzolo, Francesco (Peer reviewed; Journal article, 2022)This paper compares several models for forecasting regional hourly day-ahead electricity prices, while accounting for fundamental drivers. Forecasts of demand, in-feed from renewable energy sources, fossil fuel prices, and ... -
Large Time-Varying Volatility Models for Electricity Prices
Gianfreda, Angelica; Ravazzolo, Francesco; Rossini, Luca (CAMP Working Paper Series;05/2020, Working paper, 2020-07-02)We study the importance of time-varying volatility in modelling hourly electricity prices when fundamental drivers are included in the estimation. This allows us to contribute to the literature of large Bayesian VARs by ... -
Large Time-Varying Volatility Models for Hourly Electricity Prices*
Gianfreda, Angelica; Ravazzolo, Francesco; Rossini, Luca (Peer reviewed; Journal article, 2022)We study the importance of time-varying volatility in modelling hourly electricity prices when fundamental drivers are included in the estimation. This allows us to contribute to the literature of large Bayesian VARs by ... -
A multivariate dependence analysis for electricity prices, demand and renewable energy sources
Durante, Fabrizio; Gianfreda, Angelica; Ravazzolo, Francesco; Rossini, Luca (Peer reviewed; Journal article, 2022)This paper examines the dependence between electricity prices, demand, and renewable energy sources by means of a multivariate copula model while studying Germany, the widest studied market in Europe. The inter-dependencies ... -
A multivariate dependence analysis for electricity prices, demand and renewable energy sources
Durante, Fabrizio; Gianfreda, Angelica; Ravazzolo, Francesco; Rossini, Luca (Journal article; Peer reviewed, 2022)This paper examines the dependence between electricity prices, demand, and renewable energy sources by means of a multivariate copula model while studying Germany, the widest studied market in Europe. The inter-dependencies ...