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Practical Volatility and Correlation Modeling for Financial Market Risk Management
Andersen, Torben G. - 2005
What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in...
Persistent link: https://www.econbiz.de/10012784980
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Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets
Froot, Kenneth - 2004
Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...
Persistent link: https://www.econbiz.de/10012786275
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Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Chen, Joseph - 2010
This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...
Persistent link: https://www.econbiz.de/10012763325
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The Smart Grid, Entry, and Imperfect Competition in Electricity Markets
Allcott, Hunt - 2014
Most US consumers are charged a near-constant retail price for electricity, despite substantial hourly variation in the wholesale market price. The Smart Grid is a set of emerging technologies that, among other effects, will facilitate "real-time pricing" for electricity and increase price...
Persistent link: https://www.econbiz.de/10013066116
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Pass-Through of Emissions Costs in Electricity Markets
Fabra, Natalia - 2013
We measure the pass-through of emissions costs to electricity prices and explore its determinants. We perform both reduced-form and structural estimations based on optimal bidding in this market. Using rich micro-level data, we estimate the channels affecting pass-through in a flexible manner,...
Persistent link: https://www.econbiz.de/10013073200
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Setting with the Sun : The Impacts of Renewable Energy on Wholesale Power Markets
Bushnell, James - 2018
Policies supporting investment in renewable electricity have been a cornerstone of climate policy in many parts of the world. While previous empirical work explores the economic and environmental impacts of renewable production, the focus has exclusively been on the short-run impacts of...
Persistent link: https://www.econbiz.de/10012911703
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An Experimental Comparison of Carbon Pricing Under Uncertainty in Electricity Markets
Davis, Trevor L.; Thurber, Mark C.; Wolak, Frank - 2022
We report on an economic experiment that compares outcomes in electricity markets subject to carbon-tax and cap-and-trade policies. Under conditions of uncertainty, price-based and quantity-based policy instruments cannot be truly equivalent, so we compared three matched carbon-tax/cap-and-trade...
Persistent link: https://www.econbiz.de/10014264681
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Customer Risk from Real-Time Retail Electricity Pricing : Bill Volatility and Hedgability
Borenstein, Severin - 2010
very simple hedging strategies can eliminate more than 80% of the bill volatility that would otherwise occur. Far from … significantly enhance their effect on reducing bill volatility …
Persistent link: https://www.econbiz.de/10012760642
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Commodity Price Volatility in the Biofuel Era : An Examination of the Linkage between Energy and Agricultural Markets
Hertel, Thomas W. - 2015
that, in the presence of a binding RFS, the inherent volatility in the US coarse grains market will rise by about one …-quarter. And the volatility of the US coarse grains price to supply side shocks in that market will rise by nearly one-half. Under … binding blend wall, we see similar, although somewhat smaller, increases in market volatility. If both the RFS and the blend …
Persistent link: https://www.econbiz.de/10013038238
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Transmission of Volatility between Stock Markets
King, Mervyn - 2008
with volatility …
Persistent link: https://www.econbiz.de/10012774536