Wave energy research is a reality in many parts of the world. It is essential for any wave power plant at the commercializing stage to accurately model and forecast its production to ensure efficient trading in the daily wholesale electricity market. Altogether, a reliable forecast is a required...

Income elasticity dynamics of health expenditure is considered for the OECD and the Eurozone over the period 1995-2014. This paper studies a novel non-linear cointegration model with fixed effects, controlling for cross-section dependence and unobserved heterogeneity. Most importantly, its...

We analyze the stock market return predictability for three different periods. We evaluate the conditional variance (CV) and the variance risk premium (VRP) as predictors of stock market returns for which we are using well-established versions of the heterogeneous auto-regressive (HAR) model and...

The source code of the package tvReg is publicly available for download from the Comprehensive R Archive Network. The five basic functions in this package are the tvLM, tvAR, tvSURE, tvPLM, tvVAR and tvIRF, which cover a large range of semiparametric models with time-varying coefficients....

This paper evaluates the application of two well-known asymmetric stochastic volatility (ASV) models to option price forecasting and dynamic delta hedging. They are specified in discrete time in contrast to the classical stochastic volatility (SV) models used in option pricing. There is some...