19 citations · 43 across the 9 of their papers we have counts for
9 papers
From electricity prices to profits: multidimensional probabilistic forecasting for BESS trading
Tomasz Weron, Katarzyna Maciejowska
This article examines various methods of constructingmultidimensional probabilistic forecasts of electricity prices. Building on the Multiple Split (MS) method, it incorporates for…
Impact of distribution fees on BESS scheduling and profitability
Katarzyna Maciejowska
Battery energy storage systems (BESS) are expected to play an important role in electricity markets with increasing shares of renewable generation. While existing research has prim…
Statistical and economic evaluation of forecasts in electricity markets: beyond RMSE and MAE
Katarzyna Maciejowska, Arkadiusz Lipiecki, Bartosz Uniejewski
Electricity price forecasts are typically evaluated using accuracy measures such as RMSE and MAE, although these metrics often fail to reflect their economic value in operational d…
Multiple split approach -- multidimensional probabilistic forecasting of electricity markets
Katarzyna Maciejowska, Weronika Nitka
In this article, a multiple split method is proposed that enables construction of multidimensional probabilistic forecasts of a selected set of variables. The method uses repeated…
Probabilistic forecasting with a hybrid Factor-QRA approach: Application to electricity trading
Katarzyna Maciejowska, Tomasz Serafin, Bartosz Uniejewski
This paper presents a novel hybrid approach for constricting probabilistic forecasts that combines both the Quantile Regression Averaging (QRA) method and the factor-based averagin…
LASSO Principal Component Averaging -- a fully automated approach for point forecast pooling
Bartosz Uniejewski, Katarzyna Maciejowska
This paper develops a novel, fully automated forecast averaging scheme, which combines LASSO estimation method with Principal Component Averaging (PCA). LASSO-PCA (LPCA) explores a…
Identification testing via sample splitting -- an application to Structural VAR models
Katarzyna Maciejowska
In this article, a novel identification test is proposed, which can be applied to parameteric models such as Mixture of Normal (MN) distributions, Markow Switching(MS), or Structur…
A portfolio management of a small RES utility with a Structural Vector Autoregressive model of German electricity markets
Katarzyna Maciejowska
The changes in electricity markets expose RES producers and electricity traders to various risks, among which the price and the volume risk play a very important role. In this rese…
Forecasting Electricity Prices
Katarzyna Maciejowska, Bartosz Uniejewski, Rafał Weron
Forecasting electricity prices is a challenging task and an active area of research since the 1990s and the deregulation of the traditionally monopolistic and government-controlled…