Applying modern portfolio theory for a dynamic energy portfolio allocation in electricity markets

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text

Business, Finance, Econometrics +11

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

Computing, Economics, Econometrics +15

Optimization of conditional value-at-risk

R. T. Rockafellar, Stan Uryasev · The Journal of Risk · 2000 · 6.5K citations

Business, Finance, Risk Management +17

Portfolio optimization with conditional value-at-risk objective and constraints

Pavlo A. Krokhmal, tanislav Uryasev, Jonas Palmquist · The Journal of Risk · 2001 · 778 citations

Business, Finance, Financial Management +17

A GARCH Forecasting Model to Predict Day-Ahead Electricity Prices

Reinaldo C. Garcia, Javier Contreras, M. vanAkkeren et al. · IEEE Transactions on Power Systems · 2005 · 708 citations

Computing, Economics, Electrical Engineering +17