28 citations · 34 across the 7 of their papers we have counts for
7 papers
Copula-Based Time Series for Non-Gaussian and Non-Markovian Stationary Processes
Sven Pappert, Harry Joe
In the copula-based approach to univariate time series modeling, the finite-dimensional temporal dependence of a stationary time series is captured by a copula. Recent studies inve…
Analyzing Uncertainty Quantification in Statistical and Deep Learning Models for Probabilistic Electricity Price Forecasting
Andreas Lebedev, Abhinav Das, Sven Pappert +1
Precise probabilistic forecasts are fundamental for energy risk management, and there is a wide range of both statistical and machine learning models for this purpose. Inherent to…
The Field Equations of Penalized non-Parametric Regression
Sven Pappert
We view penalized risks through the lens of the calculus of variations. We consider risks comprised of a fitness-term (e.g. MSE) and a gradient-based penalty. After establishing th…
Interval Forecasts for Gas Prices in the Face of Structural Breaks -- Statistical Models vs. Neural Networks
Stephan Schlüter, Sven Pappert, Martin Neumann
Reliable gas price forecasts are an essential information for gas and energy traders, for risk managers and also economists. However, ahead of the war in Ukraine Europe began to su…
Moving Aggregate Modified Autoregressive Copula-Based Time Series Models (MAGMAR-Copulas)
Sven Pappert
Copula-based time series models can model univariate and stationary time series in a flexible way by decomposing the joint distribution of consecutive observations into a copula an…
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…
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…