ARX-GARCH Probabilistic Price Forecasts for Diversification of Trade in Electricity Markets—Variance Stabilizing Transformation and Financial Risk-Minimizing Portfolio Allocation
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"Combining predictive distributions of electricity prices. Does minimizing the CRPS lead to optimal decisions in day-ahead bidding?,"
Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 33(3), pages 105-118.
- Weronika Nitka & Rafa{l} Weron, 2023. "Combining predictive distributions of electricity prices: Does minimizing the CRPS lead to optimal decisions in day-ahead bidding?," Papers 2308.15443, arXiv.org.
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Keywords
electricity market; probabilistic forecasting; GARCH; strategy; risk minimization; volatility;All these keywords.
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