2 papers
stat.AP2024
Expectile regression averaging method for probabilistic forecasting of electricity prices
Joanna Janczura
In this paper we propose a new method for probabilistic forecasting of electricity prices. It is based on averaging point forecasts from different models combined with expectile re…
q-fin.ST2021
Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling
Łukasz Bielak, Aleksandra Grzesiek, Joanna Janczura +1
Mining companies to properly manage their operations and be ready to make business decisions, are required to analyze potential scenarios for main market risk factors. The most imp…