Abstract The work is aimed at identifying the most effective methodology for short-term forecasting of energy consumption concerning intervals 1 hour to week based on employment im-proved fuzzy recurrence and long memory neural networks. object research a residential area with an uneven electrical energy. article discusses methods load example area. existing were analyzed day-ahead intra-day po...

In this paper, we analyzed a dataset of over 2000 crypto-assets to assess their credit risk by computing probability death using the daily range. Unlike conventional low-frequency volatility models that only utilize close-to-close prices, range incorporates all information provided in traditional datasets, including open-high-low-close (OHLC) prices for each asset. We evaluated accuracy estimat...

Accurate time series forecasting is a key issue to support individual and organizational decision making. In this paper, we introduce novel methods for multi-step seasonal time series forecasting. All the presented methods stem from computational intelligence techniques: evolutionary artificial neural networks, support vector machines and genuine linguistic fuzzy rules. Performance of the sugge...

Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the same problem. In this paper, we propose to forecast exchange rates with a large Bayesian VAR (BVAR), using a panel of 33 exchange rates vis-a-vis the US Dollar. Since exchange...

A direct methodology for intra-day forecasts (1–6 h ahead) of power output (PO) from photovoltaic (PV) solar plants is proposed. The forecasting methodology uses publicly available images from geosynchronous satellites to predict PO directly without resorting to intermediate irradiance (resource) forecasting. Forecasts are evaluated using four years (January 2012–December 2015) of hourly PO dat...

Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures that accommodates asymmetry and long memory. Using the basic structure of the fMSV model, the authors extend the dynamic correlation MSV model, the co...

We reassess the predictability of U.S. recessions at horizons from three months to two years ahead for a large number of previously proposed leading-indicator variables. We employ an efficient probit estimator for partially missing data and assess relative model performance based on the receiver operating characteristic (ROC) curve. While the Treasury term spread has the highest predictive powe...

This study investigates the performance of combination forecasts in comparison to individual forecasts. The empirical study focuses on the UK outbound leisure tourism demand for the USA. The combination forecasts are based on the competing forecasts generated from seven individual forecasting techniques. The three combination methods examined in this study are: the simple average combination me...

This paper investigates the predictive ability of financial variables for euro area growth through bivariate and multivariate non-parametric Granger causality tests. Apart from assessing the within-country forecasting ability of commonly-employed financial variables, such as the term spread, the stock market returns and the growth of real money supply, we also test for cross-country influences....