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06/23/2023
Multivariate Simulation-based Forecasting for Intraday Power Markets: Modelling Cross-Product Price Effects
Intraday electricity markets play an increasingly important role in bala...
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05/25/2023
Hierarchical forecasting for aggregated curves with an application to day-ahead electricity price auctions
Aggregated curves are common structures in economics and finance, and th...
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03/17/2023
Multivariate Probabilistic CRPS Learning with an Application to Day-Ahead Electricity Prices
This paper presents a new method for combining (or aggregating or ensemb...
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11/23/2022
Simulation-based Forecasting for Intraday Power Markets: Modelling Fundamental Drivers for Location, Shape and Scale of the Price Distribution
During the last years, European intraday power markets have gained impor...
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08/30/2022
Modeling Volatility and Dependence of European Carbon and Energy Prices
We study the prices of European Emission Allowances (EUA), whereby we an...
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07/06/2022
Distributional neural networks for electricity price forecasting
We present a novel approach to probabilistic electricity price forecasti...
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03/07/2022
High-Resolution Peak Demand Estimation Using Generalized Additive Models and Deep Neural Networks
This paper presents a method for estimating high-resolution electricity ...
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07/14/2021
M5 Competition Uncertainty: Overdispersion, distributional forecasting, GAMLSS and beyond
The M5 competition uncertainty track aims for probabilistic forecasting ...
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07/13/2021
Smoothed Bernstein Online Aggregation for Day-Ahead Electricity Demand Forecasting
We present a winning method of the IEEE DataPort Competition on Day-Ahea...
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04/29/2021
Optimal bidding on hourly and quarter-hourly day-ahead electricity price auctions: trading large volumes of power with market impact and transaction costs
Electricity exchanges offer several trading possibilities for market par...
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04/26/2021
tsrobprep - an R package for robust preprocessing of time series data
Data cleaning is a crucial part of every data analysis exercise. Yet, th...
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02/01/2021
CRPS Learning
Combination and aggregation techniques can improve forecast accuracy sub...
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10/15/2020
On cointegration for modeling and forecasting wind power production
This study evaluates the performance of cointegrated vector autoregressi...
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10/13/2020
Modeling and Probababilistic Forecasting of Natural Gas Prices
In this paper, we examine the problem of modeling and forecasting Europe...
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05/29/2020
The energy distance for ensemble and scenario reduction
Scenario reduction techniques are widely applied for solving sophisticat...
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05/09/2020
Probabilistic Multi-Step-Ahead Short-Term Water Demand Forecasting with Lasso
Water demand is a highly important variable for operational control and ...
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05/04/2020
Ensemble Forecasting for Intraday Electricity Prices: Simulating Trajectories
Recent studies concerning the point electricity price forecasting have s...
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04/29/2020
Changes in electricity demand pattern in Europe due to COVID-19 shutdowns
The article covers electricity demand shift effects due to COVID-19 shut...
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10/16/2019
Multivariate Forecasting Evaluation: On Sensitive and Strictly Proper Scoring Rules
In recent years, probabilistic forecasting is an emerging topic, which i...
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05/20/2019
Conformal Prediction Interval Estimations with an Application to Day-Ahead and Intraday Power Markets
We discuss a concept denoted as Conformal Prediction (CP) in this paper....
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01/28/2019
Intensity estimation of transaction arrivals on the intraday electricity market
In the following paper we present a simple intensity estimation method o...
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12/21/2018
Econometric modelling and forecasting of intraday electricity prices
In the following paper we analyse the ID_3-Price on German Intraday Cont...
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11/21/2018
The value of forecasts: Quantifying the economic gains of accurate quarter-hourly electricity price forecasts
We propose a multivariate elastic net regression forecast model for Germ...
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09/10/2018
Quantile Regression for Qualifying Match of GEFCom2017 Probabilistic Load Forecasting
We present a simple quantile regression-based forecasting method that wa...
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05/17/2018
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks
We conduct an extensive empirical study on short-term electricity price ...
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04/06/2018
Short Term Load Forecasts of Low Voltage Demand and the Effects of Weather
Short term load forecasts will play a key role in the implementation of ...
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06/02/2016
Forecasting wind power - Modeling periodic and non-linear effects under conditional heteroscedasticity
In this article we present an approach that enables joint wind speed and...
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03/04/2016
Lasso estimation for GEFCom2014 probabilistic electric load forecasting
We present a methodology for probabilistic load forecasting that is base...
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02/23/2015