Eran Raviv

APG Asset Management

Data Scientist

Gustav Mahlerplein 3

Amsterdam, 1082 MS

Netherlands

http://eranraviv.com/about/

SCHOLARLY PAPERS

5

DOWNLOADS

505

CITATIONS

1

Scholarly Papers (5)

1.

An Arithmetic Modeling Framework for the Term Structure of Electricity Prices

Number of pages: 41 Posted: 14 Jul 2011 Last Revised: 14 May 2012
Cardano Risk Management, APG Asset Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 126 (168,307)

Abstract:

Electricity market, Forwards and futures, Factor models, Affine processes

2.

Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices

Tinbergen Institute Discussion Paper 13-068/III
Number of pages: 35 Posted: 18 May 2013
APG Asset Management, Cardano Risk Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 122 (149,470)
Citation 1

Abstract:

Electricity market, Forecasting, Hourly prices, Dimension reduction, Shrinkage, Forecast combinations

3.

Prediction Bias Correction for Dynamic Term Structure Models

Number of pages: 24 Posted: 15 Mar 2013
Eran Raviv
APG Asset Management
Downloads 80 (184,229)

Abstract:

Yield curve, Nelson Siegel, Time varying loadings, Factor models

4.

An Empirical Comparison of Alternate Schemes for Combining Electricity Spot Price Forecasts

Number of pages: 28 Posted: 22 Aug 2013
Wroclaw University of Technology - Institute of Organization and Management, APG Asset Management, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Wroclaw University of Technology - Institute of Organization and Management
Downloads 70 (238,018)

Abstract:

Electricity price forecasting, Forecasts combination, ARX model, Day-ahead market

5.

Forecasting with Many Predictors: Allowing for Non-Linearity

Posted: 16 Feb 2015
Eran Raviv and Dick J. C. van Dijk
APG Asset Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute

Abstract:

Variable selection; Multiple testing; False discovery rate; Data-rich environment.