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We analyse the short-term spot price of European Union Allowances (EUAs), which is of particular importance in the transition of energy markets and for the development of new risk management strategies. Due to the characteristics of the price process, such as volatility persistence, breaks in...
Persistent link: https://www.econbiz.de/10010405117
directional forecasts can provide a useful framework to assess the economic forecast value when loss functions (or success … directional forecast value is a readily available alternative to the commonly used squared error loss criterion. -- Directional … forecasts ; directional forecast value ; forecast evaluation ; economic forecast value ; mean squared forecast error ; mean …
Persistent link: https://www.econbiz.de/10003893151
The paper proposes a data driven adaptive model selection strategy. The selection crite- rion measures economic exante forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither exposed to selection bias nor to the risk of...
Persistent link: https://www.econbiz.de/10003770821
employ autoregressive models (AR) to forecast principal components which, in turn, are used to forecast swap rates. Arguing …. To evaluate ex-ante forecasting performance for particular rates, different forecast features such as mean squared errors … offers additional forecast accuracy in terms of directional accuracy and big hit ability. -- Principal components ; ex …
Persistent link: https://www.econbiz.de/10003636128
improved forecast in a benchmark level of inflation and will provide good implications for financial markets. …
Persistent link: https://www.econbiz.de/10011389060
We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index. We use a new multiplicative dynamic conditional correlation (mDCC) model to separate long-run from short-run components. We allow for smooth changes in the unconditional...
Persistent link: https://www.econbiz.de/10009349215
Autoregressive (HAR) class models. Therefore, we propose to model and forecast the realized volatility of the EU ETS futures with HAR … certificates for the second EU-ETS trading period (expiry December 2008-2012). The estimation results of the models allow to …
Persistent link: https://www.econbiz.de/10011747080
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