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20182020
most citedA fractional Brownian -- Hawkes model for the Italian electricity spot market: estimation and forecasting

2 citations · 2 across the 4 of their papers we have counts for

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math.PR2019

SPDEs with linear multiplicative fractional noise: continuity in law with respect to the Hurst index

Luca M. Giordano, Maria Jolis, Lluís Quer-Sardanyons

In this article, we consider the one-dimensional stochastic wave and heat equations driven by a linear multiplicative Gaussian noise which is white in time and behaves in space lik…

stat.AP2019★ 2 cited

A fractional Brownian -- Hawkes model for the Italian electricity spot market: estimation and forecasting

Luca M. Giordano, Daniela Morale

We propose a model for the description and the forecast of the gross prices of electricity in the liberalized Italian energy market via an additive two-factor model driven by both…