12
H index
12
i10 index
402
Citations
Francesco Lisi : Citation Profile
| RESEARCH PRODUCTION: 24 Articles 6 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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23 years (1997 - 2020). 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:
| Cites to:
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Main data
Where Francesco Lisi has published?
| Journals with more than one article published | # docs |
|---|---|
| Statistical Methods & Applications | 3 |
| Energy Economics | 3 |
| Quantitative Finance | 3 |
| Computational Statistics & Data Analysis | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / Center for Research in Economics and Statistics | 2 |
Recent works citing Francesco Lisi (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Forecasting the Turkish Lira Exchange Rates through Univariate Techniques: Can the Simple Models Outperform the Sophisticated Ones?. (2023). Sarkandiz, Mostafa R. In: Papers. RePEc:arx:papers:2302.08897. Full description at Econpapers || Download paper |
| 2024 | Multivariate Probabilistic CRPS Learning with an Application to Day-Ahead Electricity Prices. (2023). Ziel, Florian ; Berrisch, Jonathan. In: Papers. RePEc:arx:papers:2303.10019. Full description at Econpapers || Download paper |
| 2023 | A hybrid model for day-ahead electricity price forecasting: Combining fundamental and stochastic modelling. (2023). Musgens, Felix ; Grothe, Oliver ; Mobius, Thomas ; Watermeyer, Mira. In: Papers. RePEc:arx:papers:2304.09336. Full description at Econpapers || Download paper |
| 2023 | Value-at-Risk-Based Portfolio Insurance: Performance Evaluation and Benchmarking Against CPPI in a Markov-Modulated Regime-Switching Market. (2023). Bastani, Ali Foroush ; Alipour, Peyman. In: Papers. RePEc:arx:papers:2305.12539. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Bayesian inference for a mixture double autoregressive model. (2023). Dong, Xiaogang ; Yu, Xinyang ; Zhang, Qingqing ; Yang, Kai. In: Statistica Neerlandica. RePEc:bla:stanee:v:77:y:2023:i:2:p:188-207. Full description at Econpapers || Download paper |
| 2024 | Clustering and forecasting of day-ahead electricity supply curves using a market-based distance. (2024). Morales, Juan M ; Elias, Antonio. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:43805. Full description at Econpapers || Download paper |
| 2024 | Computational dynamics of information ratios. (2024). Marohn, Marcel ; Auer, Benjamin R. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000946. Full description at Econpapers || Download paper |
| 2024 | Modelling cycles in climate series: The fractional sinusoidal waveform process. (2024). Proietti, Tommaso ; Maddanu, Federico. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407622000987. Full description at Econpapers || Download paper |
| 2023 | Distributional neural networks for electricity price forecasting. (2023). Weron, Rafał ; Ziel, Florian ; Narajewski, Micha ; Marcjasz, Grzegorz. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003419. Full description at Econpapers || Download paper |
| 2023 | The economic impacts of integrating European balancing markets: The case of the newly installed aFRR energy market-coupling platform PICASSO. (2023). Kraft, Emil ; Keles, Dogan ; Backer, Martijn. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006229. Full description at Econpapers || Download paper |
| 2024 | Do ESG ETFs provide downside risk protection during Covid-19? Evidence from forecast combination models. (2024). Huang, Yujun. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002527. Full description at Econpapers || Download paper |
| 2023 | Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures. (2023). Haugom, Erik ; Hadina, Jelena ; Ewald, Christian ; Yahya, Muhammad ; Stordal, Stle ; Lien, Gudbrand. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s154461232300288x. Full description at Econpapers || Download paper |
| 2023 | Forecasting electricity prices with expert, linear, and nonlinear models. (2023). Ravazzolo, Francesco ; del Grosso, Filippo ; Gianfreda, Angelica ; Bille, Anna Gloria. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:570-586. Full description at Econpapers || Download paper |
| 2023 | Forecasting electricity prices using bid data. (2023). Nasirov, Shahriyar ; Martinez, Blanca ; Ciarreta, Aitor. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1253-1271. Full description at Econpapers || Download paper |
| 2023 | Deviations from commitments: Markov decision process formulations for the role of energy storage. (2023). Nadar, Emre ; Kocaman, Ayse Selin ; Avci, Harun ; Karakoyun, Ece Cigdem. In: International Journal of Production Economics. RePEc:eee:proeco:v:255:y:2023:i:c:s0925527322002936. Full description at Econpapers || Download paper |
| 2023 | Edge-Based Short-Term Energy Demand Prediction. (2023). Papageorgiou, Elpiniki I ; Lekidis, Alexios. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:14:p:5435-:d:1196042. Full description at Econpapers || Download paper |
| 2023 | Forecasting Day-Ahead Electricity Prices for the Italian Electricity Market Using a New Decomposition—Combination Technique. (2023). Lopez-Gonzales, Javier Linkolk ; Rodrigues, Paulo Canas ; Turpo-Chaparro, Josue E ; Iftikhar, Hasnain. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:18:p:6669-:d:1241859. Full description at Econpapers || Download paper |
| 2023 | Day-Ahead Electricity Demand Forecasting Using a Novel Decomposition Combination Method. (2023). Lopez-Gonzales, Javier Linkolk ; Rodrigues, Paulo Canas ; Turpo-Chaparro, Josue E ; Iftikhar, Hasnain. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:18:p:6675-:d:1242158. Full description at Econpapers || Download paper |
| 2023 | Multiple Novel Decomposition Techniques for Time Series Forecasting: Application to Monthly Forecasting of Electricity Consumption in Pakistan. (2023). Lopez-Gonzales, Javier Linkolk ; Rodrigues, Paulo Canas ; Bibi, Nadeela ; Iftikhar, Hasnain. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:6:p:2579-:d:1092078. Full description at Econpapers || Download paper |
| 2023 | Omega Compatibility: A Meta-analysis. (2023). Zhang, Xiang ; Maillet, Bertrand ; Caporin, Massimiliano ; Bernard, Carole. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-022-10306-x. Full description at Econpapers || Download paper |
| 2023 | Identifying Risk Factors and Their Premia: A Study on Electricity Prices*. (2023). Lunde, Asger ; Wei, Wei. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:5:p:1647-1679.. Full description at Econpapers || Download paper |
| 2023 | Machine Learning and Deep Learning Forecasts of Electricity Imbalance Prices. (2023). Smirnov, Vladimir ; Wang, Chao ; Wait, Andrew ; Inekwe, John ; Deng, Sinan. In: Working Papers. RePEc:syd:wpaper:2023-03. Full description at Econpapers || Download paper |
| 2023 | Deep distributional time series models and the probabilistic forecasting of intraday electricity prices. (2023). Nott, David J ; Smith, Michael Stanley ; Klein, Nadja. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:4:p:493-511. Full description at Econpapers || Download paper |
Works by Francesco Lisi:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2018 | Analyzing and Forecasting Zonal Imbalance Signs in the Italian Electricity Market In: The Energy Journal. [Full Text][Citation analysis] | article | 13 |
| 2014 | A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES In: Journal of Economic Surveys. [Full Text][Citation analysis] | article | 40 |
| 2014 | A Survey on the Four Families of Performance Measures.(2014) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 40 | paper | |
| 2008 | Clustering Mutual Funds by Return and Risk Levels In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 3 |
| 1997 | One-Step Prediction of Chaotic Time Series by Multivariate Reconstruction In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 1997 | Predictive Dimension : An Alternative Definition of the Embedding Dimension In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Looking for skewness in financial time series In: Econometrics Journal. [Full Text][Citation analysis] | article | 22 |
| 1999 | A comparison between neural networks and chaotic models for exchange rate prediction In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 26 |
| 2007 | Generalised long-memory GARCH models for intra-daily volatility In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 36 |
| 2013 | A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 7 |
| 2001 | Predictive accuracy for chaotic economic models In: Economics Letters. [Full Text][Citation analysis] | article | 3 |
| 2013 | Combining day-ahead forecasts for British electricity prices In: Energy Economics. [Full Text][Citation analysis] | article | 102 |
| 2014 | Component estimation for electricity prices: Procedures and comparisons In: Energy Economics. [Full Text][Citation analysis] | article | 36 |
| 2018 | Component estimation for electricity market data: Deterministic or stochastic? In: Energy Economics. [Full Text][Citation analysis] | article | 15 |
| 1997 | Is a random walk the best exchange rate predictor? In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 14 |
| 2012 | Are performance measures equally stable? In: Annals of Finance. [Full Text][Citation analysis] | article | 3 |
| 2001 | Interval prediction for chaotic time series In: Metron - International Journal of Statistics. [Full Text][Citation analysis] | article | 0 |
| 2009 | Comparing and selecting performance measures for ranking assets In: Marco Fanno Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 1997 | The interbanking liquidity market: Short-time prediction and the central bank reserve management In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2002 | Nonlinear models for ground-level ozone forecasting In: Statistical Methods & Applications. [Full Text][Citation analysis] | article | 0 |
| 2010 | Misspecification tests for periodic long memory GARCH models In: Statistical Methods & Applications. [Full Text][Citation analysis] | article | 2 |
| 2011 | Practical implications of higher moments in risk management In: Statistical Methods & Applications. [Full Text][Citation analysis] | article | 12 |
| 2003 | k -Factor GARMA models for intraday volatility forecasting In: Applied Economics Letters. [Full Text][Citation analysis] | article | 12 |
| 2009 | Periodic Long-Memory GARCH Models In: Econometric Reviews. [Full Text][Citation analysis] | article | 19 |
| 2011 | Dicing with the market: randomized procedures for evaluation of mutual funds In: Quantitative Finance. [Full Text][Citation analysis] | article | 2 |
| 2012 | On the role of risk in the Morningstar rating for mutual funds In: Quantitative Finance. [Full Text][Citation analysis] | article | 2 |
| 2007 | Testing asymmetry in financial time series In: Quantitative Finance. [Full Text][Citation analysis] | article | 8 |
| 2020 | Forecasting of electricity price through a functional prediction of sale and purchase curves In: Journal of Forecasting. [Full Text][Citation analysis] | article | 9 |
| 2011 | Comparing and selecting performance measures using rank correlations In: Economics Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
| 2011 | Comparing and selecting performance measures using rank correlations.(2011) In: Economics - The Open-Access, Open-Assessment E-Journal (2007-2020). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team