Forecasting high resolution electricity demand data with additive models including smooth and jagged components

Short-Term Load Forecasting (STLF) is a fundamental instrument in the efficient operational management and planning of electric utilities. Emerging smart grid technologies pose new challenges and opportunities. Although load forecasting at the aggregate level has been extensively studied, electrical load forecasting at fine-grained geographical scales of households is more challenging. Among existing approaches, semi-parametric generalized additive models (GAM) have been increasingly popular due to their accuracy, flexibility, and interpretability. Their applicability is justified when forecasting is addressed at higher levels of aggregation, since the aggregated load pattern contains relatively smooth additive components. High resolution data are highly volatile, forecasting the average load using GAM models with smooth components does not provide meaningful information about the future demand. Instead, we need to incorporate irregular and volatile effects to enhance the forecast accuracy. We focus on the analysis of such hybrid additive models applied on smart meters data and show that it leads to improvement of the forecasting performances of classical additive models at low aggregation levels.     

Stability and bifurcations in <Emphasis Type="Italic">IS-LM</Emphasis> economic models

In this note, we analyze the local dynamics of a general non-linear fixedprice disequilibrium IS-LM model. We assume investment behavior as a general nonlinear function avoiding any Kaldor type assumption. By proving the existence of a family of periodic solutions bifurcating from a steady state, we confirm and extend some results in the literature for IS-LM models reducible to Leinard’s equation. We use bifurcation theory and study the effect of a change of the adjustment parameter in the money market upon the solutions of the model as the steady state loses stability. We establish analytically that the values of the adjustment parameter in the money market may affect the equilibrium relative to the product market and the government budget constraint. (JEL: C62, E32)     

Die statistischen Gesetze des Gleichgewichtes nach Henry Schultz

Ohne ZusammenfassungAus dem Italienischen übersetzt von Oskar Morgenstern, Wien.     

Cointegration and distance between differenced processes

In this note, it is argued that cointegration augments the distance between the differenced series. If two series, x _t and y _t , are integrated of order one and cointegrated and v _t and w _t are integrated of order one but not cointegrated then, under certain conditions, the distance between ??x _t and ??y _t is more than the distance between ??v _t and ??w _t .     

Trade credit versus bank credit: a simultaneous analysis in European SMEs

Small Business Economics - Trade credit and bank credit constitute two of the most important external sources of finance for small firms. The purpose of this paper, first and foremost, is to...     

New development: Managing the Covid-19 pandemic—from a hospital-centred model of care to a community co-production approach

ABSTRACT

Covid-19 is not only a crisis of intensive care but a social and humanitarian crisis. Until mass vaccination is undertaken, control of contagion will rely on responsible behaviour by citizens. Strategies for fighting Covid-19 in different regions of Italy have shown that an area-specific approach, not just hospital-focused, pays off. This article proposes a community co-production approach, in the light of discussions with politicians and key health decision-makers and actors.     

THE DEPENDENCE STRUCTURE OF RUNNING MAXIMA AND MINIMA: RESULTS AND OPTION PRICING APPLICATIONS

We provide general results for the dependence structure of running maxima (minima) of sets of variables in a model based on (i) Markov dynamics; (ii) no Granger causality; (iii) cross-section dependence. At the time series level, we derive recursive formulas for running minima and maxima. These formulas enable to use a bootstrapping technique to recursively recover the pricing kernels of barrier options from those of the corresponding European options. We also show that the dependence formulas for running maxima (minima) are completely defined from the copula function representing dependence among levels at the terminal date. The result is applied to multivariate discrete barrier digital products. Barrier Altiplanos are simply priced by (i) bootstrapping the price of univariate barrier products; (ii) evaluating a European Altiplano with these values.     

How images about emerging economies influence the willingness to accept expatriate assignments

Countries’ image is a multifaceted construct. Its symbolic dimensions have shown to play an important role both on consumer behavior and on the attraction that organizations can have during the recruitment process. This paper offers a comprehensive model of international mobility decisions encompassing the antecedents and consequences of perceptions about emerging economies, proposing that country image depends on individuals’ background and social identities. In this context, countries’ evaluations can play a major role on influencing the willingness to accept expatriate job offers. We used a within-subject design asking for opinions about hypothetical job offers on six particular host countries: Algeria, Democratic Republic of Congo, Argentina, Chile, Angola and Mozambique. Survey results from more than 500 engineers, (125 French nationals, 121 Spanish and 131 Portuguese, with the remaining 138 coming from 42 different countries, yet working in 1 of the 3 above-mentioned European countries), evidence, that language proficiency influences the evaluation of specific expatriate locations. Our results also convey the critical role of the perceived level of safety and cultural attraction in predicting the willingness to accept expatriate job offers. We conclude by discussing the theoretical and practical implications for human resource management.