electricity markets. Typically, electricity spot prices exhibit features like seasonality, mean-reverting behavior, extreme … electricity spot prices is the estimation of a component to deal with trends and seasonality in the data. Unfortunately, in …

This paper is a continuation of our earlier studies on short-term price forecasting of California electricity prices … forecasting accuracy than their Gaussian counterparts. Consequently, we limit the range of analyzed models to autoregressive time …

assessment of the implications of modelling conditional volatility on forecasting performance. The estimated conditional …

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes … dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value …

underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …

The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … forecasting weekly and monthly horizons. …

account of them in estimating and forecasting IV. This paper investigates through Monte Carlo simulations the effects of RV … errors on estimating and forecasting IV with RV data. It is found that: (i) neglecting RV errors can lead to serious bias in …

We show that incorporating the intra-day relationships of electricity prices improves the accuracy of forecasts of … daily electricity spot prices. We use half-hourly data from the UK power market to model the spot prices directly (via ARX … and Vector ARX models) and indirectly (via factor models). The forecasting performance of five econometric models is …

We show that incorporating the intra-day and inter-zone relationships of electricity prices in the Pennsylvania … a major PJM market hub -- the Dominion Hub in Virginia, U.S. The forecasting performance of four multivariate models …