GrEnFin Summer School 2024

Author

Affiliation

Beniamino Sartini

University of Bologna

1 Crash Lab in Statistics

1.1 Time series

• ARMA

• ARCH/GARCH

1.2 Tests

• Hypothesis tests
• Stationarity tests
• Normality tests
• Autocorrelation tests
• Tests on the Value at Risk

2 Project

Hourly energy demand generation and weather

The dataset contains 4 years of electrical consumption, generation, pricing, and weather data for Spain. Consumption and generation data was retrieved from ENTSOE a public portal for Transmission Service Operator (TSO) data. Settlement prices were obtained from the Spanish TSO Red Electric España. Weather data was purchased as part of a personal project from the Open Weather API for the 5 largest cities in Spain. The original datasets can be downloaded from Kaggle. However, the dataset to be used for the project has been already pre-processed. The code used for preprocessing is in this github repository, while the dataset to be used can be downloaded here.