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q-fin.ST2023★ 1 cited
Combining predictive distributions of electricity prices: Does minimizing the CRPS lead to optimal decisions in day-ahead bidding?
Weronika Nitka, Rafał Weron
Probabilistic price forecasting has recently gained attention in power trading because decisions based on such predictions can yield significantly higher profits than those made wi…
q-fin.ST2022★ 1 cited
Calibration window selection based on change-point detection for forecasting electricity prices
Julia Nasiadka, Weronika Nitka, Rafał Weron
We employ a recently proposed change-point detection algorithm, the Narrowest-Over-Threshold (NOT) method, to select subperiods of past observations that are similar to the current…