On current electricity markets the electrical utilities are faced with very sophisticated decision making problems under uncertainty. Moreover, when focusing in the short-term management, generation companies must include some medium-term products that directly influence their short-term...

The objective of this paper is to investigate the relationships between Spanish electricity spot prices and the US dollar/Euro (USD/Euro) exchange rate during the period 2005-2007, taking into account the study of the association between dollar and oil prices, in order to better understand the...

The aim of this paper is to compare the forecasting performance of competing threshold models, in order to capture the asymmetric effect in the volatility. We focus on examining the relative out-of-sample forecasting ability of the SETAR-Threshold GARCH (SETAR-TGARCH) and the SETAR-Threshold...