Francesco Lisi : Citation Profile


Are you Francesco Lisi?

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10

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320

Citations

RESEARCH PRODUCTION:

24

Articles

6

Papers

RESEARCH ACTIVITY:

   23 years (1997 - 2020). See details.
   Cites by year: 13
   Journals where Francesco Lisi has often published
   Relations with other researchers
   Recent citing documents: 38.    Total self citations: 10 (3.03 %)

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   Permalink: http://citec.repec.org/pli451
   Updated: 2021-10-09    RAS profile: 2020-02-27    
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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 Francesco Lisi.

Is cited by:

Weron, Rafał (57)

Caporin, Massimiliano (35)

Marcjasz, Grzegorz (22)

Nowotarski, Jakub (20)

McAleer, Michael (20)

Uniejewski, Bartosz (13)

Chang, Chia-Lin (12)

Asai, Manabu (8)

GUPTA, RANGAN (7)

Miller, Stephen (6)

Grossi, Luigi (6)

Cites to:

Bollerslev, Tim (23)

Weron, Rafał (17)

Diebold, Francis (9)

Janczura, Joanna (9)

Caporin, Massimiliano (7)

Andersen, Torben (7)

Nason, James (6)

Trueck, Stefan (6)

Parisio, Lucia (5)

Campbell, John (5)

Koopman, Siem Jan (5)

Main data


Where Francesco Lisi has published?


Journals with more than one article published# docs
Energy Economics3
Statistical Methods & Applications3
Quantitative Finance3
Computational Statistics & Data Analysis2

Working Papers Series with more than one paper published# docs
Working Papers / Center for Research in Economics and Statistics2

Recent works citing Francesco Lisi (2021 and 2020)


YearTitle of citing document
2021Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO. (2021). Weron, Rafał ; Marcjasz, Grzegorz ; Jędrzejewski, Arkadiusz. In: WORking papers in Management Science (WORMS). RePEc:ahh:wpaper:worms2104.

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2020On Evaluation of Risky Investment Projects. Investment Certainty Equivalence. (2020). Serebryannikova, Ekaterina ; Tipunin, Ilya ; Leonidov, Andrey. In: Papers. RePEc:arx:papers:2005.12173.

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2020Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark. (2020). Weron, Rafał ; Marcjasz, Grzegorz ; de Schutter, Bart ; Lago, Jesus. In: Papers. RePEc:arx:papers:2008.08004.

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2020Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs. (2020). Weron, Rafał ; Marcjasz, Grzegorz ; Lago, Jesus. In: Papers. RePEc:arx:papers:2008.08006.

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2021Deep Distributional Time Series Models and the Probabilistic Forecasting of Intraday Electricity Prices. (2020). Nott, David J ; Smith, Michael Stanley ; Klein, Nadja. In: Papers. RePEc:arx:papers:2010.01844.

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2020Relationship between Thai Baht and Oil Price: A Neural Network Model. (2020). Harnphattananusorn, Supanee. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-01-49.

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2020A robust optimization approach for optimal load dispatch of community energy hub. (2020). Lu, Xinhui ; Feng, Nanping ; Zhou, Kaile ; Wang, Lingfeng ; Ma, LI ; Liu, Zhaoxi . In: Applied Energy. RePEc:eee:appene:v:259:y:2020:i:c:s0306261919318823.

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2021Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark. (2021). Weron, Rafał ; de Schutter, Bart ; Marcjasz, Grzegorz ; Lago, Jesus. In: Applied Energy. RePEc:eee:appene:v:293:y:2021:i:c:s0306261921004529.

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2020Realized stochastic volatility models with generalized Gegenbauer long memory. (2020). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:42-54.

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2021Understanding forecast reconciliation. (2021). Tipping, Michael E ; Petropoulos, Fotios ; Hollyman, Ross. In: European Journal of Operational Research. RePEc:eee:ejores:v:294:y:2021:i:1:p:149-160.

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2021Electricity pricing using a periodic GARCH model with conditional skewness and kurtosis components. (2021). Theodossiou, Panayiotis ; Savva, Christos ; Kosmidou, Kyriaki ; Ioannidis, Filippos. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000153.

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2021Regularized quantile regression averaging for probabilistic electricity price forecasting. (2021). Weron, Rafał ; Uniejewski, Bartosz. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000268.

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2021Enhancing load, wind and solar generation for day-ahead forecasting of electricity prices. (2021). Weron, Tomasz ; Nitka, Weronika ; Maciejowska, Katarzyna. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s014098832100178x.

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2020Use of new variables based on air temperature for forecasting day-ahead spot electricity prices using deep neural networks: A new approach. (2020). Jasiski, Tomasz. In: Energy. RePEc:eee:energy:v:213:y:2020:i:c:s0360544220318910.

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2020Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts?. (2020). Weron, Rafał ; Uniejewski, Bartosz ; Marcjasz, Grzegorz. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:466-479.

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2021Conformal prediction interval estimation and applications to day-ahead and intraday power markets. (2021). Ziel, Florian ; Kath, Christopher. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:777-799.

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2020Unequal returns: Using the Atkinson index to measure financial risk. (2020). Fischer, Thomas ; Lundtofte, Frederik. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620300868.

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2020Modeling asset returns under time-varying semi-nonparametric distributions. (2020). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301369.

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2020.

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2021Forecasting of customer demands for production planning by local k-nearest neighbor models. (2021). Freitag, Michael ; Kuck, Mirko. In: International Journal of Production Economics. RePEc:eee:proeco:v:231:y:2021:i:c:s092552732030205x.

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2021An extended regularized Kalman filter based on Genetic Algorithm: Application to dynamic asset pricing models. (2021). Zhang, LU ; Liu, Jiapeng ; Jiang, Minqi. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:28-44.

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2021Analysis of the performance of volatility-based trading strategies on scheduled news announcement days: An international equity market perspective. (2021). Esparcia, Carlos ; Lopez, Raquel. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:32-54.

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2021A consistent estimator for skewness of partial sums of dependent data. (2021). Ould-Haye, Mohamedou ; Nasari, Masoud M. In: Statistics & Probability Letters. RePEc:eee:stapro:v:171:y:2021:i:c:s0167715220303242.

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2020Comparison of Electricity Spot Price Modelling and Risk Management Applications. (2020). Adiyeke, Esra ; Anakolu, Ethem . In: Energies. RePEc:gam:jeners:v:13:y:2020:i:18:p:4698-:d:411305.

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2020Event Effects Estimation on Electricity Demand Forecasting. (2020). Hori, Maiya ; Wada, Keigo ; Hirose, Kei ; Taniguchi, Rin-Ichiro. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:21:p:5839-:d:442360.

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2020Point and Interval Forecasting of Zonal Electricity Prices and Demand Using Heteroscedastic Models: The IPEX Case. (2020). Lisi, Francesco ; Bernardi, Mauro. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:23:p:6191-:d:450862.

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2020The Implications of Policy Uncertainty on Solar Photovoltaic Investment. (2020). Byrne, Julie ; Assereto, Martina. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:23:p:6233-:d:451620.

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2021Importance of the Long-Term Seasonal Component in Day-Ahead Electricity Price Forecasting Revisited: Parameter-Rich Models Estimated via the LASSO. (2021). Weron, Rafał ; Marcjasz, Grzegorz ; Jdrzejewski, Arkadiusz. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:11:p:3249-:d:567421.

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2020.

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2020.

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2020Impacts of subsidized renewable electricity generation on spot market prices in Germany : Evidence from a GARCH model with panel data. (2020). Lemoine, Killian ; Pham, Thao. In: Working Papers. RePEc:hal:wpaper:hal-02568268.

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2021Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy. (2021). van De, Ignace ; Ren, Tiantian ; Mazza, Paolo ; Kerstens, Kristiaan. In: Working Papers. RePEc:ies:wpaper:e202105.

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2021Should Deep Learning Models be in High Demand, or Should They Simply be a Very Hot Topic? A Comprehensive Study for Exchange Rate Forecasting. (2021). Arabaci, Ozer ; Yilmaz, Firat Melih. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:1:d:10.1007_s10614-020-10047-9.

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2021Forecasting Electricity Prices with Expert, Linear and Non-Linear Models. (2021). Ravazzolo, Francesco ; del Grosso, Filippo ; Gianfreda, Angelica ; Bille, Anna Gloria. In: Working Paper series. RePEc:rim:rimwps:21-20.

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2021Higher-order comoments and asset returns: evidence from emerging equity markets. (2021). Vo, Xuan Vinh ; Anh, Thi Tuan. In: Annals of Operations Research. RePEc:spr:annopr:v:297:y:2021:i:1:d:10.1007_s10479-020-03549-0.

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2020UPSIDE BETA RATIO: A PERFORMANCE MEASURE FOR POTENTIAL-SEEKING INVESTORS. (2020). Selvaraju, N ; Mondal, Dipankar. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:02:n:s0219024920500144.

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2020Electricity balancing as a market equilibrium: Estimating supply and demand of imbalance energy. (2020). Hirth, Lion ; Ruhnau, Oliver ; Eicke, Anselm. In: EconStor Preprints. RePEc:zbw:esprep:223062.

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2021Electricity balancing as a market equilibrium. (2021). Hirth, Lion ; Ruhnau, Oliver ; Eicke, Anselm. In: EconStor Preprints. RePEc:zbw:esprep:233852.

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Works by Francesco Lisi:


YearTitleTypeCited
2018Analyzing and Forecasting Zonal Imbalance Signs in the Italian Electricity Market In: The Energy Journal.
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article5
2014A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES In: Journal of Economic Surveys.
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article32
2014A Survey on the Four Families of Performance Measures.(2014) In: Post-Print.
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This paper has another version. Agregated cites: 32
paper
2008Clustering Mutual Funds by Return and Risk Levels In: Working Paper CRENoS.
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paper3
1997One-Step Prediction of Chaotic Time Series by Multivariate Reconstruction In: Working Papers.
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paper1
1997Predictive Dimension : An Alternative Definition of the Embedding Dimension In: Working Papers.
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paper0
2009Looking for skewness in financial time series In: Econometrics Journal.
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article17
1999A comparison between neural networks and chaotic models for exchange rate prediction In: Computational Statistics & Data Analysis.
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article21
2007Generalised long-memory GARCH models for intra-daily volatility In: Computational Statistics & Data Analysis.
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article29
2013A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management In: The North American Journal of Economics and Finance.
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article6
2001Predictive accuracy for chaotic economic models In: Economics Letters.
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article2
2013Combining day-ahead forecasts for British electricity prices In: Energy Economics.
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article84
2014Component estimation for electricity prices: Procedures and comparisons In: Energy Economics.
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article30
2018Component estimation for electricity market data: Deterministic or stochastic? In: Energy Economics.
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article11
1997Is a random walk the best exchange rate predictor? In: International Journal of Forecasting.
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article14
2012Are performance measures equally stable? In: Annals of Finance.
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article2
2001Interval prediction for chaotic time series In: Metron - International Journal of Statistics.
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article0
2009Comparing and selecting performance measures for ranking assets In: Marco Fanno Working Papers.
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paper9
1997The interbanking liquidity market: Short-time prediction and the central bank reserve management In: Decisions in Economics and Finance.
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article0
2002Nonlinear models for ground-level ozone forecasting In: Statistical Methods & Applications.
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article0
2010Misspecification tests for periodic long memory GARCH models In: Statistical Methods & Applications.
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article0
2011Practical implications of higher moments in risk management In: Statistical Methods & Applications.
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article10
2003k -Factor GARMA models for intraday volatility forecasting In: Applied Economics Letters.
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article9
2009Periodic Long-Memory GARCH Models In: Econometric Reviews.
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article17
2011Dicing with the market: randomized procedures for evaluation of mutual funds In: Quantitative Finance.
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article2
2012On the role of risk in the Morningstar rating for mutual funds In: Quantitative Finance.
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article1
2007Testing asymmetry in financial time series In: Quantitative Finance.
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article7
2020Forecasting of electricity price through a functional prediction of sale and purchase curves In: Journal of Forecasting.
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article4
2011Comparing and selecting performance measures using rank correlations In: Economics Discussion Papers.
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paper4
2011Comparing and selecting performance measures using rank correlations.(2011) In: Economics - The Open-Access, Open-Assessment E-Journal (2007-2020).
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