28 citations · 28 across the 3 of their papers we have counts for
3 papers
stat.AP2023
Forecasting Natural Gas Prices with Spatio-Temporal Copula-based Time Series Models
Sven Pappert, Antonia Arsova
Commodity price time series possess interesting features, such as heavy-tailedness, skewness, heteroskedasticity, and non-linear dependence structures. These features pose challeng…
q-fin.ST2022★ 28 cited
Modeling Volatility and Dependence of European Carbon and Energy Prices
Jonathan Berrisch, Sven Pappert, Florian Ziel +1
We study the prices of European Emission Allowances (EUA), whereby we analyze their uncertainty and dependencies on related energy prices (natural gas, coal, and oil). We propose a…
stat.AP2020
On cointegration for modeling and forecasting wind power production
Florian Ziel, Antonia Arsova
This study evaluates the performance of cointegrated vector autoregressive (VAR) models for very short- and short-term wind power forecasting. Preliminary results for a German data…