24 citations · 25 across the 4 of their papers we have counts for
4 papers
Assessing the Optimistic Bias in the Natural Inflow Forecasts: A Call for Model Monitoring in Brazil
Arthur Brigatto, Alexandre Street, Cristiano Fernandes +3
Hydroelectricity accounted for roughly 61.4% of Brazil's total generation in 2024 and addressed most of the intermittency of wind and solar generation. Thus, inflow forecasting pla…
ScoreDrivenModels.jl: a Julia Package for Generalized Autoregressive Score Models
Guilherme Bodin, Raphael Saavedra, Cristiano Fernandes +1
Score-driven models, also known as generalized autoregressive score models, represent a class of observation-driven time series models. They possess powerful properties, such as th…
A Multi-Quantile Regression Time Series Model with Interquantile Lipschitz Regularization for Wind Power Probabilistic Forecasting
Marcelo Ruas, Alexandre Street, Cristiano Fernandes
Modern decision-making processes require uncertainty-aware models, especially those relying on non-symmetric costs and risk-averse profiles. The objective of this work is to propos…
The log-periodic-AR(1)-GARCH(1,1) model for financial crashes
L. Gazola, C. Fernandes, A. Pizzinga +1
This paper intends to meet recent claims for the attainment of more rigorous statistical methodology within the econophysics literature. To this end, we consider an econometric app…