Blar i BI Research Centre's Series 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 ... -
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 ...