output
20122025
most citedProbabilistic Mid- and Long-Term Electricity Price Forecasting

165 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

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5 papers · 1 filter

q-fin.ST2018★ 13 cited

Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty

David Bauder, Taras Bodnar, Nestor Parolya +1

The paper solves the problem of optimal portfolio choice when the parameters of the asset returns distribution, like the mean vector and the covariance matrix are unknown and have…

q-fin.ST2018★ 15 cited

Short- to Mid-term Day-Ahead Electricity Price Forecasting Using Futures

Rick Steinert, Florian Ziel

Due to the liberalization of markets, the change in the energy mix and the surrounding energy laws, electricity research is a dynamically altering field with steadily changing chal…

q-fin.ST2017★ 1 cited

Tests for the weights of the global minimum variance portfolio in a high-dimensional setting

Taras Bodnar, Solomiia Dmytriv, Nestor Parolya +1

In this study, we construct two tests for the weights of the global minimum variance portfolio (GMVP) in a high-dimensional setting, namely, when the number of assets depends o…

q-fin.ST2015★ 134 cited

Forecasting Electricity Spot Prices using Lasso: On Capturing the Autoregressive Intraday Structure

Florian Ziel

In this paper we present a regression based model for day-ahead electricity spot prices. We estimate the considered linear regression model by the lasso estimation method. The lass…

q-fin.ST2014★ 113 cited

Estimation of the Global Minimum Variance Portfolio in High Dimensions

Taras Bodnar, Nestor Parolya, Wolfgang Schmid

We estimate the global minimum variance (GMV) portfolio in the high-dimensional case using results from random matrix theory. This approach leads to a shrinkage-type estimator whic…