with mean and variance specifications are estimated simultaneously by the method of approximate maximum likelihood. The …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

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 … variance of the spot prices is less pronounced. The novel findings in this paper can have important consequences for the …

with high volatility. In addition, we assess the effect of algorithmic trading on market quality around macroeconomic news …

presence and timing of an outlier. Next, a second test determines the type of additive outlier (volatility or level). The tests …