9 papers
Thick as THieFs: Temporal coherent forecast combination for day-ahead electricity prices
Daniele Girolimetto
Day-ahead electricity prices are forecast by many competing models and at several temporal granularities, from hourly prices to block and baseload products. The resulting forecasts…
FoReco and FoRecoML: A Unified Toolbox for Forecast Reconciliation in R
Daniele Girolimetto, Jeroen Rombouts, Ines Wilms +1
Forecast reconciliation has become key to improving the accuracy and coherence of forecasts for linearly constrained multiple time series, such as hierarchical and grouped series.…
Multivariate GARCH and portfolio variance prediction: A forecast reconciliation perspective
Massimiliano Caporin, Daniele Girolimetto, Emanuele Lopetuso
We assess the advantage of combining univariate and multivariate portfolio risk forecasts with the aid of forecast reconciliation techniques. In our analyzes, we assume knowledge o…
Forecast reconciliation with non-linear constraints
Daniele Girolimetto, Anastasios Panagiotelis, Tommaso Di Fonzo +1
Methods for forecasting time series adhering to linear constraints have seen notable development in recent years, especially with the advent of forecast reconciliation. This paper…
Forecasting Italian daily electricity generation disaggregated by geographical zones and energy sources using coherent forecast combination
Daniele Girolimetto, Tommaso Di Fonzo
A novel approach is applied for improving forecast accuracy and achieving coherence in forecasting the Italian daily energy generation time series. In hierarchical frameworks such…
Energy load forecasting using Terna public data: a free lunch multi-task combination approach
Daniele Girolimetto, Tommaso Di Fonzo
We propose a quick-and-simple procedure to augment the accuracy of 15-minutes Italian load forecasts disaggregated by bidding zones published by Terna, the operator of the Italian…