The aim of this paper is to prove the validity of an alternative prediction technique to another classical one, which is Box-Jenkins methodology, in order to produce multivariate prediction. In particular, one-step ahead forecasts will be obtained for two time series: thermic and hydraulic power production. These forecasts are based on the past values of those series.

Whereas much research has largely investigated the safe haven, diversifier and hedge proprieties of cryptocurrency, very few papers have analyzed hedging issue cryptocurrency with other assets. As such, this paper attempts to investigate possibility if Bitcoin can be hedged by selected fiat currencies (EUR, JPY GBP) as prices experienced high persistent volatility. To do so, we compute optimal ...

We consider a day-ahead electricity market where a central operator forecasts the dayahead demands and where there may be some price elasticity. The day-ahead market clears based on the day-ahead bids. There is also a real-time deviations market, which clears the difference between the day-ahead demand and the real-time demand, which is modeled as a random variable. We observe that in the absen...

Since 2007 wind has become the major source of renewable energy in the UK. Moreover, increasing oil costs are driving researchers in the marine transport field to develop innovating wind ships. In order for wind power to be effectively and efficiently exploited, reliable forecasts on wind speed are needed. These will allow saving curtailments costs, improving safety, reducing damages due to ext...

This paper examines the predictive power of weather for electricity prices in dayahead markets in real time. We find that next-day weather forecasts improve the forecast accuracy of Scandinavian day-ahead electricity prices substantially in terms of point forecasts, suggesting that weather forecasts can price the weather premium. This improvement strengthens the confidence in the forecasting mo...

Value-at-Risk (VaR) is widely used as a tool for measuring the market risk of asset portfolios. However, alternative VaR implementations are known to yield fairly different VaR forecasts. Hence, every use of VaR requires choosing amongst alternative forecasting models. This paper undertakes two case studies in model selection, for the S&P 500 index and India’s NSE-50 index, at the 95% and 99% l...

The paper constructs various core inflation measures. These include various trimmed means using disaggregated data and a structural VAR estimate of core inflation for Ireland. The ability of these core inflation measures to forecast future headline inflation is compared using a regression model. An ARIMA model fitted to the headline inflation rate is used as the benchmark forecast. The forecast...

Value-at-Risk (VaR) is increasingly used in portfolio risk measurement, risk capital allocation and performance attribution. Financial risk managers are therefore rightfully concerned with the precision of typical VaR techniques. The purpose of this paper is to assess the precision of common dynamic models and to quantify the magnitude of the estimation error by constructing confidence interval...

As the old saying goes, “Don’t put all of your eggs in one basket lest you drop the basket and lose all of your eggs.” Suppose the head of a forecasting division of a company has two sources of forecasts for the company’s sales, one source being the forecasts generated by the division’s econometrics group using an econometric time series model and the other source being the aggregated forecasts...

One-year-ahead forecasts by the OECD and by national institutes of GDP growth and inflation in 13 European countries are analysed. RMSE was large: 1.9 % for growth and 1.6 % for inflation. Six (11) OECD and 10 (7) institute growth forecast records were significantly better than an average growth forecast (the current year forecast). All full record-length inflation forecasts were significantly ...