Marcelo G. Figueroa : Citation Profile


Are you Marcelo G. Figueroa?

Birkbeck College

3

H index

2

i10 index

216

Citations

RESEARCH PRODUCTION:

1

Articles

2

Papers

RESEARCH ACTIVITY:

   3 years (2005 - 2008). See details.
   Cites by year: 72
   Journals where Marcelo G. Figueroa has often published
   Relations with other researchers
   Recent citing documents: 56.    Total self citations: 2 (0.92 %)

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   Permalink: http://citec.repec.org/pfi67
   Updated: 2020-08-01    RAS profile: 2009-04-25    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Marcelo G. Figueroa.

Is cited by:

Weron, Rafał (30)

Cartea, Álvaro (14)

Hurn, Stan (12)

Janczura, Joanna (9)

Nowotarski, Jakub (9)

Trueck, Stefan (7)

Clements, Adam (6)

Vargiolu, Tiziano (5)

Tomczyk, Jakub (5)

Coulon, Michael (5)

Prokopczuk, Marcel (4)

Cites to:

Cartea, Álvaro (6)

Ibáñez, Alfredo (2)

Escribano, Alvaro (2)

Routledge, Bryan (1)

Casassus, Jaime (1)

Koekebakker, Steen (1)

Shephard, Neil (1)

Hirshleifer, David (1)

Barndorff-Nielsen, Ole (1)

Lewis, Alan (1)

Longstaff, Francis (1)

Main data


Where Marcelo G. Figueroa has published?


Recent works citing Marcelo G. Figueroa (2018 and 2017)


YearTitle of citing document
2017The Effect of Transmission Constraints on Electricity Prices. (2017). Hurn, Stan ; Clements, Adam ; Li, Zili. In: The Energy Journal. RePEc:aen:journl:ej38-4-hurn.

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2018Modelling Electricity Swaps with Stochastic Forward Premium Models. (2018). Rodriguez, Rosa ; Pea, Juan Ignacio. In: The Energy Journal. RePEc:aen:journl:ej39-2-pena.

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2018Additive energy forward curves in a Heath-Jarrow-Morton framework. (2018). Vargiolu, Tiziano ; Piccirilli, Marco ; Benth, Fred Espen. In: Papers. RePEc:arx:papers:1709.03310.

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2018Technical Uncertainty in Real Options with Learning. (2018). Jaimungal, Sebastian ; Cartea, Alvaro ; Al-Aradi, Ali. In: Papers. RePEc:arx:papers:1803.05831.

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2018Optimal Portfolio in Intraday Electricity Markets Modelled by L\evy-Ornstein-Uhlenbeck Processes. (2018). Vargiolu, Tiziano ; Piccirilli, Marco. In: Papers. RePEc:arx:papers:1807.01979.

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2019Probabilistic forecasting and simulation of electricity prices. (2018). Ziel, Florian ; Muniain, Peru. In: Papers. RePEc:arx:papers:1810.08418.

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2019European Option Pricing of electricity under exponential functional of L\evy processes with Price-Cap principle. (2019). Wono, Yves Emvudu ; Bogso, Antoine-Marie ; Soh, Patrice Takam ; Kegnenlezom, Martin. In: Papers. RePEc:arx:papers:1906.10888.

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2020Fast Pricing of Energy Derivatives with Mean-reverting Jump Processes. (2019). Sabino, Piergiacomo ; Petroni, Nicola Cufaro . In: Papers. RePEc:arx:papers:1908.03137.

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2019Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem. (2019). Vargiolu, Tiziano ; Koch, Torben. In: Papers. RePEc:arx:papers:1911.04223.

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2020Gamma Related Ornstein-Uhlenbeck Processes and their Simulation. (2020). Sabino, Piergiacomo ; Petroni, Nicola Cufaro. In: Papers. RePEc:arx:papers:2003.08810.

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2020Exact Simulation of Variance Gamma related OU processes: Application to the Pricing of Energy Derivatives. (2020). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2004.06786.

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2019Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem. (2019). Vargiolu, Tiziano ; Koch, Torben. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:627.

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2019Modeling the electricity spot price with switching regime semi-nonparametric distributions. (2019). Perote, Javier ; Cortés, Lina ; Cortes, Lina M ; Trespalacios, Alfredo. In: Documentos de Trabajo CIEF. RePEc:col:000122:017618.

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2019Volatility Spillovers in Electricity Markets: Evidence from the United States. (2019). Kampouris, Ilias ; Armenatzoglou, Aggelos ; Polyzos, Stathis ; Pantos, Themistoclis. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-04-17.

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2019Application of ARIMA Modelling for the Forecasting of Solar, Wind, Spot and Options Electricity Prices: The Australian National Electricity Market. (2019). Wong, Victor ; Tularam, Gurudeo Anand ; Alsaedi, Yasir. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-04-33.

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2020Consumer Surplus Changing in the Transition from State Natural Monopoly to the Competitive Market in the Electricity Sector in the Developing Countries: Azerbaijan Case. (2020). Gulali, Mayis ; Askerov, Ramil Ramiz ; Salahov, Fariz Rafiq ; Abasova, Samira Tahmazqizi ; Mamedova, Gulnara Vaqifqizi ; Yuzbashiyeva, Gulshen Zahidqizi. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-02-32.

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2017A probabilistic portfolio-based model for financial valuation of community solar. (2017). Shakouri, Mahmoud ; Kim, Yong-Woo ; Lee, Hyun Woo . In: Applied Energy. RePEc:eee:appene:v:191:y:2017:i:c:p:709-726.

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2019On the impact of outlier filtering on the electricity price forecasting accuracy. (2019). Afanasyev, Dmitriy ; Fedorova, Elena A. In: Applied Energy. RePEc:eee:appene:v:236:y:2019:i:c:p:196-210.

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2017Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market. (2017). Caldana, Ruggero ; Roncoroni, Andrea ; Fusai, Gianluca. In: European Journal of Operational Research. RePEc:eee:ejores:v:261:y:2017:i:2:p:715-734.

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2019Long-term swings and seasonality in energy markets. (2019). Novales, Alfonso ; Moreno, Manuel ; Platania, Federico. In: European Journal of Operational Research. RePEc:eee:ejores:v:279:y:2019:i:3:p:1011-1023.

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2020Risk management of renewable power producers from co-dependencies in cash flows. (2020). Owusu, Abena ; Kar, Koushik ; Gupta, Aparna ; Bhattacharya, Saptarshi. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:3:p:1081-1093.

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2020Optimal trading of imbalance options for power systems using an energy storage device. (2020). Duck, Peter ; Szabo, David Zoltan ; Johnson, Paul. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:3-22.

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2017A rough multi-factor model of electricity spot prices. (2017). Bennedsen, Mikkel . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:301-313.

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2017Electricity price modeling with stochastic time change. (2017). Borovkova, Svetlana ; Schmeck, Maren Diane . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:51-65.

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2018A generalized Schwartz model for energy spot prices — Estimation using a particle MCMC method. (2018). Brix, Anne Floor ; Wei, Wei ; Lunde, Asger. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:560-582.

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2019Mean-reverting no-arbitrage additive models for forward curves in energy markets. (2019). Vargiolu, Tiziano ; Piccirilli, Marco ; Latini, Luca. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:157-170.

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2019Speculative trading of electricity contracts in interconnected locations. (2019). Qin, Zhen ; Jaimungal, Sebastian ; Cartea, Alvaro. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:3-20.

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2019Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill. (2019). Weron, Rafał ; Truck, Stefan ; Maryniak, Pawe. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:45-58.

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2019Screening instruments for monitoring market power — The Return on Withholding Capacity Index (RWC). (2019). Bodnar, Olivia ; Bataille, Marc ; Thorwarth, Susanne ; Steinmetz, Alexander. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:227-237.

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2018European power markets–A journey towards efficiency. (2018). Morales, Lucia ; Hanly, Jim. In: Energy Policy. RePEc:eee:enepol:v:116:y:2018:i:c:p:78-85.

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2018Managing electricity price modeling risk via ensemble forecasting: The case of Turkey. (2018). Avci, Ezgi ; van Heck, Eric ; Ketter, Wolfgang. In: Energy Policy. RePEc:eee:enepol:v:123:y:2018:i:c:p:390-403.

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2018A space-time random field model for electricity forward prices. (2018). Benth, Fred Espen ; Paraschiv, Florentina. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:203-216.

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2018Managing renewable energy production risk. (2018). Hain, Martin ; Fichtner, Wolf ; Uhrig-Homburg, Marliese ; Schermeyer, Hans. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:1-19.

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2018The impact of the 2030 Climate and Energy Framework Agreement on electricity prices in MIBEL: A mixed-methods approach. (2018). Estevo, Joo ; Raposo, Clara . In: Journal of Business Research. RePEc:eee:jbrese:v:89:y:2018:i:c:p:411-417.

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2018Latent jump diffusion factor estimation for commodity futures. (2018). Tang, KE ; Medova, Elena ; Dempster, M. A. H., . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:9:y:2018:i:c:p:35-54.

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2018Electricity markets around the world. (2018). Trueck, Stefan ; Truck, Stefan ; Mayer, Klaus . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:9:y:2018:i:c:p:77-100.

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2019Robust forecasting of electricity prices: Simulations, models and the impact of renewable sources. (2019). Nan, Fany ; Grossi, Luigi. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:141:y:2019:i:c:p:305-318.

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2017A Dynamic Economic Dispatch Model for Uncertain Power Demands in an Interconnected Microgrid. (2017). Jang, Young-Sik ; Kim, Mun-Kyeom. In: Energies. RePEc:gam:jeners:v:10:y:2017:i:3:p:300-:d:92057.

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2018Electricity Price Forecasting Using Recurrent Neural Networks. (2018). Ugurlu, Umut ; Tas, Oktay ; Oksuz, Ilkay. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:5:p:1255-:d:146305.

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2019A Speculative Trading Model for the Electricity Market: Based on Japan Electric Power Exchange. (2019). Shimada, Koji ; Maekawa, Jun. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:15:p:2946-:d:253507.

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2020.

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2018Best Fitting Fat Tail Distribution for the Volatilities of Energy Futures: Gev, Gat and Stable Distributions in GARCH and APARCH Models. (2018). Gunay, Samet ; Khaki, Audil Rashid . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:30-:d:151623.

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2018The influence of renewables on electricity price forecasting: a robust approach. (2018). Nan, Fany ; Grossi, Luigi. In: Working Papers. RePEc:ieb:wpaper:doc2018-10.

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2017The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices. (2017). Hsu, Chih-Chen ; Chen, Ting-Fu ; Lin, Shih-Kuei. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:3:d:10.1007_s11156-016-0569-x.

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2020Identifying Risk Factors and Their Premia: A Study on Electricity Prices. (2020). Lunde, Asger ; Wei, Wei. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-10.

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2017Price convergence within and between the Italian electricity day-ahead and dispatching services markets. (2017). Santucci de Magistris, Paolo ; Fontini, Fulvio ; Caporin, Massimiliano. In: Marco Fanno Working Papers. RePEc:pad:wpaper:0215.

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2018Pairs trading with a mean-reverting jump–diffusion model on high-frequency data. (2018). Endres, Sylvia ; Stubinger, Johannes. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:10:p:1735-1751.

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2019Long-term swings and seasonality in energy markets. (2019). Platania, Federico ; Novales, Alfonso ; Moreno, Manuel. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1929.

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2017Forecasting electricity prices through robust nonlinear models. (2017). Nan, Fany ; Grossi, Luigi. In: Working Papers. RePEc:ver:wpaper:06/2017.

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2017A Game Theoretical Real Options Framework for Investment Decisions in Mobile TV Infrastructure. (2017). Razzac, Amal Abdel ; Chahed, Tijani ; Hayel, Yezekael ; Elayoubi, Salah Eddine ; Salahaldin, Linda. In: Asia-Pacific Journal of Operational Research (APJOR). RePEc:wsi:apjorx:v:34:y:2017:i:04:n:s0217595917500142.

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2018Electricity price forecasting. (2018). Weron, Rafał ; Ziel, Florian. In: HSC Research Reports. RePEc:wuu:wpaper:hsc1808.

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2019Screening instruments for monitoring market power: The return on withholding capacity index (RWC). (2019). Thorwarth, Susanne ; Steinmetz, Alexander ; Bodnar, Olivia ; Bataille, Marc. In: DICE Discussion Papers. RePEc:zbw:dicedp:311.

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2018A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns. (2018). Stubinger, Johannes ; Endres, Sylvia. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:072018.

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2017Pairs trading with a mean-reverting jump-diffusion model on high-frequency data. (2017). Endres, Sylvia ; Stubinger, Johannes. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:102017.

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2017Optimal trading strategies for Lévy-driven Ornstein-Uhlenbeck processes. (2017). Stubinger, Johannes ; Endres, Sylvia. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:172017.

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2017An Electricity Price Modeling Framework for Renewable-Dominant Markets. (2017). Fichtner, Wolf ; Uhrig-Homburg, Marliese ; Schermeyer, Hans ; Hain, Martin. In: Working Paper Series in Production and Energy. RePEc:zbw:kitiip:23.

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Works by Marcelo G. Figueroa:


YearTitleTypeCited
2006Pricing Multiple Interruptible-Swing Contracts In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]
paper3
2008Modelling Electricity Prices with Forward Looking Capacity Constraints In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]
paper29
2005Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality In: Applied Mathematical Finance.
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article184

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