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 …

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 …

Accepted by the <Journal of Empirical Finance</I>.<P> We develop a new simultaneous time series model for volatility … model are compared with high-frequency realised volatility and dependence measures. The forecast accuracy is overall higher …

> The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …

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 …

methods are implemented for time series of 1, 200 to 4, 400 daily price observations. Apart from persistence …

volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH … the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in other …

simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … 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 …