Browsing BI Open by Author "Rossini, Luca"
Now showing items 1-9 of 9
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Are low frequency macroeconomic variables important for high frequency electricity prices?
Foroni, Claudia; Ravazzolo, Francesco; Rossini, Luca (Peer reviewed; Journal article, 2023)Recent research finds that forecasting electricity prices is very relevant. In many applications, it might be interesting to predict daily electricity prices by using their own lags or renewable energy sources. However, ... -
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 ... -
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 ... -
Proper scoring rules for evaluating asymmetry in density forecasting
Iacopini, Matteo; Ravazzolo, Francesco; Rossini, Luca (CAMP Working Paper Series;06/2020, Working paper, 2020-09-01)This paper proposes a novel asymmetric continuous probabilistic score (ACPS) for evaluating and comparing density forecasts. It extends the proposed score and defines a weighted version, which emphasizes regions of interest, ... -
Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions
Iacopini, Matteo; Ravazzolo, Francesco; Rossini, Luca (Peer reviewed; Journal article, 2022)This article proposes a novel asymmetric continuous probabilistic score (ACPS) for evaluating and comparing density forecasts. It generalizes the proposed score and defines a weighted version, which emphasizes regions of ...