Concepedia

Scenario generation and probabilistic forecasting analysis of spatio-temporal wind speed series with multivariate autoregressive volatility models

Carlo Lucheroni, John Boland, Costantino Ragno

Applied Energy · 2019 · 54 citations · 21 references

Open access

Concepts

BusinessMeteorologyForecastingTime Series AnalysisWeather ForecastingMultivariate ForecastingProbabilistic ForecastingTime Series ForecastingTime Series ModelingTime Series PredictionVolatility ModelingAutoregressive ModelsMultivariate Time Series ForecastingProbabilistic Weather ForecastingProbabilistic Wind ForecastingScenario GenerationVolatility ForecastingWind Forecast Uncertainty QuantificationWind Speed Forecasting

References

21

Generalized autoregressive conditional heteroskedasticity

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

Business, Finance, Econometrics +11

Dynamic Conditional Correlation

Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 7.1K citations

Business, Finance, Econometrics +16

Strictly Proper Scoring Rules, Prediction, and Estimation

Tilmann Gneiting, Adrian E. Raftery · Journal of the American Statistical Association · 2007 · 5.5K citations

Business, Mathematics, Forecasting +16

Multivariate Simultaneous Generalized ARCH

Robert F. Engle, Kenneth F. Kroner · Econometric Theory · 1995 · 4.6K citations

Engineering, Mathematics, Statistical Modeling +16

Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model

Tim Bollerslev · The Review of Economics and Statistics · 1990 · 3.6K citations

Social Sciences, Economics, Econometrics +15