37 citations · 78 across the 16 of their papers we have counts for
6 papers · 1 filter
Thick as THieFs: Temporal coherent forecast combination for day-ahead electricity prices
Daniele Girolimetto
Day-ahead electricity prices are forecast by many competing models and at several temporal granularities, from hourly prices to block and baseload products. The resulting forecasts…
Multivariate GARCH and portfolio variance prediction: A forecast reconciliation perspective
Massimiliano Caporin, Daniele Girolimetto, Emanuele Lopetuso
We assess the advantage of combining univariate and multivariate portfolio risk forecasts with the aid of forecast reconciliation techniques. In our analyzes, we assume knowledge o…
Forecasting Italian daily electricity generation disaggregated by geographical zones and energy sources using coherent forecast combination
Daniele Girolimetto, Tommaso Di Fonzo
A novel approach is applied for improving forecast accuracy and achieving coherence in forecasting the Italian daily energy generation time series. In hierarchical frameworks such…
Energy load forecasting using Terna public data: a free lunch multi-task combination approach
Daniele Girolimetto, Tommaso Di Fonzo
We propose a quick-and-simple procedure to augment the accuracy of 15-minutes Italian load forecasts disaggregated by bidding zones published by Terna, the operator of the Italian…
Enhancements in cross-temporal forecast reconciliation, with an application to solar irradiance forecasts
Tommaso Di Fonzo, Daniele Girolimetto
In recent works by Yang et al. (2017a,b), and Yagli et al. (2019), geographical, temporal, and sequential deterministic reconciliation of hierarchical photovoltaic (PV) power gener…
Forecast combination based forecast reconciliation: insights and extensions
Tommaso Di Fonzo, Daniele Girolimetto
In a recent paper, while elucidating the links between forecast combination and cross-sectional forecast reconciliation, Hollyman et al. (2021) have proposed a forecast combination…