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Hybridising neurofuzzy model the seasonal autoregressive models for electricity price forecasting on Germany's spot market

Paraschiv, Dorel Mihai; Bălășoiu, Narciz; Ben Amor, … - In: Amfiteatru economic : an economic and business research … 25 (2023) 63, pp. 463-478

Electricity price forecasting has become an area of increasing relevance in recent years. Despite the growing interest in predictive algorithms, the challenges are difficult to overcome given the restricted access to relevant data series and the lack of accurate metrics. Multiple models have...

Persistent link: https://www.econbiz.de/10014464238

Multi-day-ahead electricity price forecasting: a comparison of fundamental, econometric and hybrid models

Beran, Philip; Vogler, Arne; Weber, Christoph - 2021

Forecasting hourly electricity prices and their characteristic properties is a core challenge for energy generation companies and trading houses. The short-term marketing and purchase of electricity is usually managed with standardized products traded on different markets and with specific...

Persistent link: https://www.econbiz.de/10012660776

Stochastic Population Forecast for Germany and Its Consequence for the German Pension System

Härdle, Wolfgang - 2017

forecasts and probabilistic prediction intervals for demographic parameters in addition. Age-sex specific population forecast …-specific population forecast using the cohort-component method. The consequence for the German pension system is discussed. To maintain …

Persistent link: https://www.econbiz.de/10012966275

Stochastic population forecast for Germany and its consequence for the German pension system

Härdle, Wolfgang; Mysickova, Alena - 2009

Persistent link: https://www.econbiz.de/10003814452

Short-term forecasting economic activity in Germany : a supply and demand side system of bridge equations

Pinkwart, Nicolas - 2018

-of-sample forecast evaluation setup, we are able to find informative forecasts for most of the underlying GDP components. We then show … first, that both approaches already yield informative aggregate forecasts for forecast horizons of up to 28 weeks and second …, that combining the production side and the demand side projections substantially improves the forecast performance, in …

Persistent link: https://www.econbiz.de/10011900715

Information flows around the globe : predicting opening gaps from overnight foreign stock price patterns

Gooijer, Jan G. de; Diks, Cees G. H.; Gatarek, Lukasz T. - 2009

This paper describes a forecasting exercise of close-to-open returns on major global stock indices, based on price patterns from foreign markets that have become available overnight. As the close-to-open gap is a scalar response variable to a functional variable, it is natural to focus on...

Persistent link: https://www.econbiz.de/10011379456

Forecasting Value-at-Risk and Expected Shortfall Using Fractionally Integrated Models of Conditional Volatility : International Evidence

Degiannakis, Stavros Antonios - 2018

forecasting horizons. Therefore, a long memory volatility model compared to a short memory GARCH model does not appear to improve …

Persistent link: https://www.econbiz.de/10012910119

Estimating and Predicting Multivariate Volatility Thresholds in Global Stock Markets

Audrino, Francesco; Trojani, Fabio - 2003

past domestic volatilities does not generally affect the mean and the volatility of the estimated thresholds. Specifically …, with the exception of the Italian market we find at least two volatility regimes, due to an asymmetric structure of … volatility as a function of bad and good domestic news. Moreover, in the majority of the series under scrutiny we also identify …

Persistent link: https://www.econbiz.de/10014089647

Prediction of financial downside-risk with heavy-tailed conditional distributions

Mittnik, Stefan; Paolella, Marc S. - 2003

The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution...

Persistent link: https://www.econbiz.de/10009765347

Lasso-Type and Heuristic Strategies in Model Selection and Forecasting

Savin, Ivan - 2012

leading business cycle indicators in Russia and Germany …

Persistent link: https://www.econbiz.de/10013099334