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Regularized Quantile Regression Averaging for probabilistic electricity price forecasting

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  2. Michał Narajewski, 2022. "Probabilistic Forecasting of German Electricity Imbalance Prices," Energies, MDPI, vol. 15(14), pages 1-17, July.
  3. Uniejewski, Bartosz & Maciejowska, Katarzyna, 2023. "LASSO principal component averaging: A fully automated approach for point forecast pooling," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1839-1852.
  4. He Jiang & Yao Dong & Jianzhou Wang, 2024. "Electricity price forecasting using quantile regression averaging with nonconvex regularization," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1859-1879, September.
  5. Simon Hirsch & Jonathan Berrisch & Florian Ziel, 2024. "Online Distributional Regression," Papers 2407.08750, arXiv.org, revised Aug 2025.
  6. Sergio Cantillo-Luna & Ricardo Moreno-Chuquen & Jesus Lopez-Sotelo & David Celeita, 2023. "An Intra-Day Electricity Price Forecasting Based on a Probabilistic Transformer Neural Network Architecture," Energies, MDPI, vol. 16(19), pages 1-24, September.
  7. Bartosz Uniejewski, 2023. "Smoothing Quantile Regression Averaging: A new approach to probabilistic forecasting of electricity prices," Papers 2302.00411, arXiv.org, revised Nov 2024.
  8. Lipiecki, Arkadiusz & Uniejewski, Bartosz & Weron, Rafał, 2024. "Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression," Energy Economics, Elsevier, vol. 139(C).
  9. Marcjasz, Grzegorz & Narajewski, Michał & Weron, Rafał & Ziel, Florian, 2023. "Distributional neural networks for electricity price forecasting," Energy Economics, Elsevier, vol. 125(C).
  10. Pablo Alejandro Mendez-Santos & Nathalia Alexandra Chacón-Reino & Luis Fernando Guerrero-Vásquez & Jorge Osmani Ordoñez-Ordoñez & Paul Andrés Chasi-Pesantez, 2025. "Estimation and Forecasting of the Average Unit Cost of Energy Supply in a Distribution System Using Multiple Linear Regression and ARIMAX Modeling in Ecuador," Energies, MDPI, vol. 18(14), pages 1-33, July.
  11. Olivares, Kin G. & Challu, Cristian & Marcjasz, Grzegorz & Weron, Rafał & Dubrawski, Artur, 2023. "Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx," International Journal of Forecasting, Elsevier, vol. 39(2), pages 884-900.
  12. Nie, Ying & Li, Ping & Wang, Jianzhou & Zhang, Lifang, 2024. "A novel multivariate electrical price bi-forecasting system based on deep learning, a multi-input multi-output structure and an operator combination mechanism," Applied Energy, Elsevier, vol. 366(C).
  13. Loizidis, Stylianos & Venizelou, Venizelos & Kyprianou, Andreas & Georghiou, George E., 2025. "Integrating PNN classification and ELM-Bootstrap for enhanced Day-Ahead negative price forecasting," Applied Energy, Elsevier, vol. 392(C).
  14. Katarzyna Chec & Bartosz Uniejewski & Rafal Weron, 2026. "From biased point forecasts of electricity demand to accurate predictive distributions: Using LASSO and GAMLSS," WORking papers in Management Science (WORMS) WORMS/26/01, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
  15. Katarzyna Maciejowska & Weronika Nitka, 2024. "Multiple split approach -- multidimensional probabilistic forecasting of electricity markets," Papers 2407.07795, arXiv.org.
  16. Weronika Nitka & Rafał Weron, 2023. "Combining predictive distributions of electricity prices. Does minimizing the CRPS lead to optimal decisions in day-ahead bidding?," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 33(3), pages 105-118.
  17. Lehna, Malte & Scheller, Fabian & Herwartz, Helmut, 2022. "Forecasting day-ahead electricity prices: A comparison of time series and neural network models taking external regressors into account," Energy Economics, Elsevier, vol. 106(C).
  18. Nickelsen, Daniel & Müller, Gernot, 2025. "Bayesian hierarchical probabilistic forecasting of intraday electricity prices," Applied Energy, Elsevier, vol. 380(C).
  19. Serafin, Tomasz & Marcjasz, Grzegorz & Weron, Rafał, 2022. "Trading on short-term path forecasts of intraday electricity prices," Energy Economics, Elsevier, vol. 112(C).
  20. Arkadiusz Jędrzejewski & Grzegorz Marcjasz & Rafał Weron, 2021. "Importance of the Long-Term Seasonal Component in Day-Ahead Electricity Price Forecasting Revisited: Parameter-Rich Models Estimated via the LASSO," Energies, MDPI, vol. 14(11), pages 1-17, June.
  21. Agakishiev, Ilyas & Härdle, Wolfgang Karl & Kopa, Milos & Kozmik, Karel & Petukhina, Alla, 2025. "Multivariate probabilistic forecasting of electricity prices with trading applications," Energy Economics, Elsevier, vol. 141(C).
  22. Nazila Pourhaji & Mohammad Asadpour & Ali Ahmadian & Ali Elkamel, 2022. "The Investigation of Monthly/Seasonal Data Clustering Impact on Short-Term Electricity Price Forecasting Accuracy: Ontario Province Case Study," Sustainability, MDPI, vol. 14(5), pages 1-14, March.
  23. He Jiang & Sheng Pan & Yao Dong & Jianzhou Wang, 2024. "Probabilistic electricity price forecasting based on penalized temporal fusion transformer," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1465-1491, August.
  24. Jiang, Ping & Nie, Ying & Wang, Jianzhou & Huang, Xiaojia, 2023. "Multivariable short-term electricity price forecasting using artificial intelligence and multi-input multi-output scheme," Energy Economics, Elsevier, vol. 117(C).
  25. Serafin, Tomasz & Weron, Rafał, 2025. "Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading," Energy Economics, Elsevier, vol. 148(C).
  26. Christos Hadjichristofi & Spyridon Diochnos & Kyriakos Andresakis & Vassilios Vescoukis, 2024. "Using Time-Series Databases for Energy Data Infrastructures," Energies, MDPI, vol. 17(21), pages 1-23, November.
  27. Mira Watermeyer & Thomas Mobius & Oliver Grothe & Felix Musgens, 2023. "A hybrid model for day-ahead electricity price forecasting: Combining fundamental and stochastic modelling," Papers 2304.09336, arXiv.org.
  28. Chȩć, Katarzyna & Uniejewski, Bartosz & Weron, Rafał, 2025. "Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market," Journal of Commodity Markets, Elsevier, vol. 37(C).
  29. Tomasz Serafin & Bartosz Uniejewski, 2024. "Ranking probabilistic forecasting models with different loss functions," Papers 2411.17743, arXiv.org.
  30. Shao, Zhen & Zhu, Guowei & Han, Yating & Zha, Jianrui & Yang, Changhui & Li, Fangyi, 2025. "Multi-distribution fusion based Bayesian deep neural network for short-term probabilistic electricity price forecasting," Applied Energy, Elsevier, vol. 401(PB).
  31. Katarzyna Maciejowska & Bartosz Uniejewski & Rafa{l} Weron, 2022. "Forecasting Electricity Prices," Papers 2204.11735, arXiv.org.
  32. Janczura, Joanna & Wójcik, Edyta, 2022. "Dynamic short-term risk management strategies for the choice of electricity market based on probabilistic forecasts of profit and risk measures. The German and the Polish market case study," Energy Economics, Elsevier, vol. 110(C).
  33. Jiang, He & Dong, Yawei & Dong, Yao & Wang, Jianzhou, 2025. "Probabilistic electricity price forecasting by integrating interpretable model," Technological Forecasting and Social Change, Elsevier, vol. 210(C).
  34. Ciaran O'Connor & Mohamed Bahloul & Steven Prestwich & Andrea Visentin, 2025. "The Evolution of Probabilistic Price Forecasting Techniques: A Review of the Day-Ahead, Intra-Day, and Balancing Markets," Papers 2511.05523, arXiv.org.
  35. Stephen Haben & Julien Caudron & Jake Verma, 2021. "Probabilistic Day-Ahead Wholesale Price Forecast: A Case Study in Great Britain," Forecasting, MDPI, vol. 3(3), pages 1-37, August.
  36. Uniejewski, Bartosz, 2025. "Smoothing quantile regression averaging: A new approach to probabilistic forecasting of electricity prices," Journal of Commodity Markets, Elsevier, vol. 39(C).
  37. Hanus, Luboš & Baruník, Jozef, 2025. "Learning the probability distributions of day-ahead electricity prices," Energy Economics, Elsevier, vol. 152(C).
  38. Miller, J. Isaac & Nam, Kyungsik, 2022. "Modeling peak electricity demand: A semiparametric approach using weather-driven cross-temperature response functions," Energy Economics, Elsevier, vol. 114(C).
  39. Cornell, Cameron & Dinh, Nam Trong & Pourmousavi, S. Ali, 2024. "A probabilistic forecast methodology for volatile electricity prices in the Australian National Electricity Market," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1421-1437.
  40. Lago, Jesus & Marcjasz, Grzegorz & De Schutter, Bart & Weron, Rafał, 2021. "Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark," Applied Energy, Elsevier, vol. 293(C).
  41. Micha{l} Narajewski, 2022. "Probabilistic forecasting of German electricity imbalance prices," Papers 2205.11439, arXiv.org.
  42. Russo, Marianna & Kraft, Emil & Bertsch, Valentin & Keles, Dogan, 2022. "Short-term risk management of electricity retailers under rising shares of decentralized solar generation," Energy Economics, Elsevier, vol. 109(C).
  43. Hilger, Hannes & Witthaut, Dirk & Dahmen, Manuel & Rydin Gorjão, Leonardo & Trebbien, Julius & Cramer, Eike, 2024. "Multivariate scenario generation of day-ahead electricity prices using normalizing flows," Applied Energy, Elsevier, vol. 367(C).
  44. Katarzyna Chk{e}'c & Bartosz Uniejewski & Rafa{l} Weron, 2025. "Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market," Papers 2503.02518, arXiv.org.
  45. Elsayed, Ahmed H. & Khalfaoui, Rabeh & Zhang, Dongna & Urquhart, Andrew, 2025. "AI and carbon pricing in turbulent times: Navigating market dynamics for a sustainable future," International Review of Financial Analysis, Elsevier, vol. 107(C).
  46. Cramer, Eike & Witthaut, Dirk & Mitsos, Alexander & Dahmen, Manuel, 2023. "Multivariate probabilistic forecasting of intraday electricity prices using normalizing flows," Applied Energy, Elsevier, vol. 346(C).
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