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Volatility linkages between energy and agricultural commodity prices
López Cabrera, Brenda; Schulz, Franziska - 2013
In this paper we investigate price and volatility risk originating in linkages between energy and agricultural …
Persistent link: https://www.econbiz.de/10010331113
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Forecasting generalized quantiles of electricity demand: A functional data approach
López Cabrera, Brenda; Schulz, Franziska - 2014
Electricity load forecasts are an integral part of many decision-making processes in the electricity market. However …, most literature on electricity load forecasting concentrates on deterministic forecasts, neglecting possibly important … median. We propose a new methodology to obtain probabilistic forecasts of electricity load, that is based on functional data …
Persistent link: https://www.econbiz.de/10010427057
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Combination of multivariate volatility forecasts
Amendola, Alessandra; Storti, Giuseppe - 2009
This paper proposes a novel approach to the combination of conditional covariance matrix forecasts based on the use of the Generalized Method of Moments (GMM). It is shown how the procedure can be generalized to deal with large dimensional systems by means of a two-step strategy. The finite...
Persistent link: https://www.econbiz.de/10010263760
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Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2009
We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...
Persistent link: https://www.econbiz.de/10010270816
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Testing directional forecast value in the presence of serial correlation
Blaskowitz, Oliver J.; Herwartz, Helmut - 2008
Common approaches to test for the economic value of directional forecasts are based on the classical Chi-square test for independence, Fisher’s exact test or the Pesaran and Timmerman (1992) test for market timing. These tests are asymptotically valid for serially independent observations....
Persistent link: https://www.econbiz.de/10010271838
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Industry Interdependency Dynamics in a Network Context
Qian, Ya; Härdle, Wolfgang Karl; Chen, Cathy Yi-Hsuan - 2017
This paper contributes to model the industry interconnecting structure in a network context. General predictive model (Rapach et al. 2016) is extended to quantile LASSO regression so as to incorporate tail risks in the construction of industry interdependency networks. Empirical results show a...
Persistent link: https://www.econbiz.de/10011725379
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Adaptive weights clustering of research papers
Adamyan, Larisa; Efimov, Kirill; Chen, Cathy Yi-hsuan; … - 2017
The JEL classification system is a standard way of assigning key topics to economic articles in order to make them more easily retrievable in the bulk of nowadays massive literature. Usually the JEL (Journal of Economic Literature) is picked by the author(s) bearing the risk of suboptimal...
Persistent link: https://www.econbiz.de/10011725380
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Combination ofmultivariate volatilityforecasts
Amendola, Alessandra; Storti, Giuseppe - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009
This paper proposes a novel approach to the combination of conditional covariancematrix forecasts based on the use of the Generalized Method of Moments (GMM). Itis shown how the procedure can be generalized to deal with large dimensional systemsby means of a two-step strategy. The finite sample...
Persistent link: https://www.econbiz.de/10005865451
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Volatility modelling of CO2 emission allowance spot prices with regime-switching GARCH models
Benschopa, Thijs; López Cabreraa, Brenda - 2014
transition of energy markets and for the development of new risk management strategies. Due to the characteristics of the price …
Persistent link: https://www.econbiz.de/10010427050
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Generalized exogenous processes in DSGE: A Bayesian approach
Meyer-Gohde, Alexander; Neuhoff, Daniel - 2015
The Reversible Jump Markov Chain Monte Carlo (RJMCMC) method can enhance Bayesian DSGE estimation by sampling from a posterior distribution spanning potentially nonnested models with parameter spaces of different dimensionality. We use the method to jointly sample from an ARMA process of unknown...
Persistent link: https://www.econbiz.de/10011335461