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 …

and on the functionals. The proposed estimators are optimal in the sense of semiparametric efficiency. The class of linear …

This article examines the efficiency of wind energy production. We quantify production losses in four wind parks across … Germany for 19 wind turbines with non-convex efficiency analysis. In a second stage regression, we adapt the linear regression … results of Kneip, Simar, Wilson (2014) to explain electricity losses by means of a bias-corrected truncated regression. Our …

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading …

direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …

A new heteroskedastic hedonic regression model is suggested which takes into account time-varying volatility and is … student distribution with time-varying scale and degrees of freedom does well in explaining deviations of prices from their … expectation. The art price index is a smooth function of time and has a variability that is comparable to the volatility of stock …

-variance analysis of alternative investments has been hampered by the lack of a systematic treatment of volatility in these markets … underlying volatility. For example, in art markets, auction houses often give price guarantees to the seller that resemble put … the price index, allowing to treat the volatility parameter as the object of interest. The model can be estimated using …

This paper presents insights on U.S. business cycle volatility since 1867 de- rived from diffusion indices. We employ a … volatility across World War I, which is reversed after World War II. While we can generate evidence of postwar moderation …