-driven models. We consider dynamic count, intensity, duration, volatility and copula models, including new specifications that have …

Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that … towards volatility features of the time series. For the older electricity market of Nord Pool in Norway, it is found that a …

We develop a new simultaneous time series model for volatility and dependence with long memory (fractionally integrated … volatility and dependence measures. The forecast accuracy is overall higher compared to those from some well-known competing …

This paper develops a novel approach to modeling and forecasting realized volatility (RV) measures based on copula … functions. Copula-based time series models can capture relevant characteristics of volatility such as nonlinear dynamics and … long-memory type behavior in a flexible yet parsimonious way. In an empirical application to daily volatility for S&P500 …

variance, at least due to Jensen's inequality. We incorporate filtering methods for the estimation of the latent log volatility … volatility model contains non-Gaussian return innovations and leverage effects. The empirical results reveal that measurement …

predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression … superior market timing ability and volatility timing ability, while a mean-variance investor would be willing to pay an annual …