Marcelo G. Figueroa : Citation Profile

Are you Marcelo G. Figueroa?

Birkbeck College

3

H index

2

i10 index

250

Citations

RESEARCH PRODUCTION:

1

Articles

2

Papers

RESEARCH ACTIVITY:

   3 years (2005 - 2008). See details.
   Cites by year: 83
   Journals where Marcelo G. Figueroa has often published
   Relations with other researchers
   Recent citing documents: 27.    Total self citations: 2 (0.79 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfi67
   Updated: 2023-08-19    RAS profile: 2009-04-25    
   Missing citations? Add them    Incorrect content? Let us know

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 (27)

Cartea, Álvaro (14)

Hurn, Stan (11)

Nowotarski, Jakub (8)

Trueck, Stefan (8)

Janczura, Joanna (8)

Vargiolu, Tiziano (7)

Clements, Adam (6)

Tomczyk, Jakub (5)

Moreno, Manuel (4)

Prokopczuk, Marcel (4)

Cites to:

Cartea, Álvaro (6)

Ibáñez, Alfredo (2)

Escribano, Alvaro (2)

Routledge, Bryan (1)

French, Kenneth (1)

Fama, Eugene (1)

Lewis, Alan (1)

Shephard, Neil (1)

Longstaff, Francis (1)

Koekebakker, Steen (1)

Hirshleifer, David (1)

Main data

Where Marcelo G. Figueroa has published?

Recent works citing Marcelo G. Figueroa (2022 and 2021)

YearTitle of citing document
2021Long-term prediction intervals with many covariates. (2020). Chudy, Marek ; Karmakar, Sayar ; Wu, Wei Biao. In: Papers. RePEc:arx:papers:2012.08223.

Full description at Econpapers || Download paper

2021Valuation of electricity storage contracts using the COS method. (2021). Oosterlee, Cornelis W ; Boonstra, Boris C. In: Papers. RePEc:arx:papers:2101.02917.

Full description at Econpapers || Download paper

2021Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of Ornstein-Uhlenbeck Type. (2021). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2103.13252.

Full description at Econpapers || Download paper

2021Normal Tempered Stable Processes and the Pricing of Energy Derivatives. (2021). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2105.03071.

Full description at Econpapers || Download paper

2022Interpolating commodity futures prices with Kriging. (2021). Pallavicini, Andrea ; Maran, Andrea. In: Papers. RePEc:arx:papers:2110.13021.

Full description at Econpapers || Download paper

2023A Heat-Jarrow-Morton framework for energy markets: a pragmatic approach. (2023). Santilli, Edoardo ; Gardini, Matteo. In: Papers. RePEc:arx:papers:2305.01485.

Full description at Econpapers || Download paper

2022Long?term prediction intervals with many covariates. (2022). Wu, Wei Biao ; Chud, Marek ; Karmakar, Sayar. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:587-609.

Full description at Econpapers || Download paper

2021Valuation of electricity storage contracts using the COS method. (2021). Oosterlee, Cornelis W ; Boonstra, Boris C. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:410:y:2021:i:c:s0096300321005051.

Full description at Econpapers || Download paper

2022Assessing the impact of jumps in an option pricing model: A gradient estimation approach. (2022). Heidergott, Bernd ; Borovkova, Svetlana ; Volk-Makarewicz, Warren . In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:2:p:740-751.

Full description at Econpapers || Download paper

2021A survey of electricity spot and futures price models for risk management applications. (2021). Gruet, Pierre ; Feron, Olivier ; Deschatre, Thomas. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003881.

Full description at Econpapers || Download paper

2021An analysis of electricity congestion price patterns in North America. (2021). Ibrahim, Zinatu ; Godin, Frederic. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003893.

Full description at Econpapers || Download paper

2021Conditionally independent increment processes for modeling electricity prices with regard to renewable power generation. (2021). Muller, Gernot ; Lingohr, Daniel. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321001493.

Full description at Econpapers || Download paper

2021A multi-factor approach to modelling the impact of wind energy on electricity spot prices. (2021). Gruet, Pierre ; Rowiska, Paulina A. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004953.

Full description at Econpapers || Download paper

2022Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets?. (2022). Stordal, Stle ; Lien, Gudbrand ; Haugom, Erik ; Ewald, Christian-Oliver ; Wu, Yuexiang. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322004534.

Full description at Econpapers || Download paper

2023Foreseeing the worst: Forecasting electricity DART spikes. (2023). Godin, Frederic ; Gauthier, Genevieve ; Galarneau-Vincent, Remi. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000191.

Full description at Econpapers || Download paper

2021Electricity price modelling with stochastic volatility and jumps: An empirical investigation. (2021). Ignatieva, Katja ; Gudkov, Nikolay. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001651.

Full description at Econpapers || Download paper

2021Learning spatiotemporal dynamics in wholesale energy markets with dynamic mode decomposition. (2021). Dowling, Alexander W ; Elmore, Clay T. In: Energy. RePEc:eee:energy:v:232:y:2021:i:c:s0360544221012615.

Full description at Econpapers || Download paper

2022The relationship between renewable energy and retail electricity prices: Panel evidence from OECD countries. (2022). Inglesi-Lotz, Roula ; Thopil, George Alex ; Oosthuizen, Anna Maria. In: Energy. RePEc:eee:energy:v:238:y:2022:i:pb:s0360544221020387.

Full description at Econpapers || Download paper

2022Supply, demand, and risk premiums in electricity markets. (2022). Pirrong, Craig ; Li, YU ; Jacobs, Kris. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:135:y:2022:i:c:s0378426621003411.

Full description at Econpapers || Download paper

2023Analysis of hourly price granularity implementation in the Brazilian deregulated electricity contracting environment. (2023). Pereira, Benvindo Rodrigues ; Lage, Guilherme Guimares ; Faria, Wandry Rodrigues ; Leite, Ciniro Aparecido. In: Utilities Policy. RePEc:eee:juipol:v:81:y:2023:i:c:s0957178723000255.

Full description at Econpapers || Download paper

2021Ensemble Methods for Jump-Diffusion Models of Power Prices. (2021). Baldassari, Cristiano ; Mari, Carlo. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:8:p:2084-:d:532730.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2023Valuation of Spark-Spread Option Written on Electricity and Gas Forward Contracts Under Two-Factor Models with Non-Gaussian Lévy Processes. (2023). Noorani, Idin ; Mehrdoust, Farshid. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:2:d:10.1007_s10614-021-10232-4.

Full description at Econpapers || Download paper

2021Gaussian clustering and jump-diffusion models of electricity prices: a deep learning analysis. (2021). Mari, Carlo. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00332-z.

Full description at Econpapers || Download paper

2021Optimal installation of renewable electricity sources: the case of Italy. (2021). Vargiolu, Tiziano ; Awerkin, Almendra. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00365-4.

Full description at Econpapers || Download paper

2022An electricity price modeling framework for renewable-dominant markets. (2022). Hain, Martin ; Kargus, Tobias ; Schermeyer, Hans ; Uhrig-Homburg, Marliese ; Fichtner, Wolf. In: Working Paper Series in Production and Energy. RePEc:zbw:kitiip:65.

Full description at Econpapers || Download paper

Works by Marcelo G. Figueroa:

YearTitleTypeCited
2006Pricing Multiple Interruptible-Swing Contracts In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]		paper4
2008Modelling Electricity Prices with Forward Looking Capacity Constraints In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]		paper33
2005Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article213

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 3 2023. Contact: CitEc Team