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Volatility linkages between energy and agricultural commodity prices

Cabrera, Brenda López; Schulz, Franziska - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013

In this paper we investigate price and volatility risk originating in link- ages between energy and agricultural …

Persistent link: https://www.econbiz.de/10011145247

Forecasting Generalized Quantiles of Electricity Demand: A Functional Data Approach

Cabrera, Brenda Lopez; Schulz, Franziska - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014

Electricity load forecasts are an integral part of many decision-making pro- cesses in the electricity market. However …, most literature on electricity load forecasting concentrates on deterministic forecasts, neglecting possibly impor- tant … median. We pro- pose a new methodology to obtain probabilistic forecasts of electricity load, that is based on functional …

Persistent link: https://www.econbiz.de/10011184071

Combination of multivariate volatility forecasts

Amendola, Alessandra; Storti, Giuseppe - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10005207941

Testing directional forecast value in the presence of serial correlation

Blaskowitz, Oliver; Herwartz, Helmut - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10005652761

Volatility Modelling of CO2 Emission Allowance Spot Prices with Regime-Switching GARCH Models

Benschopa, Thijs; Cabrera, Brenda López - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014

I compare the performance of solution methods in solving a standard real business cycle model with labor market search frictions. Under the conventional calibration, the model is solved by the projection method using the Chebyshev polynomials as its basis, and the perturbation methods up to...

Persistent link: https://www.econbiz.de/10010929781

Functional stable limit theorems for efficient spectral covolatility estimators

Altmeyer, Randolf; Bibinger, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014

We consider noisy non-synchronous discrete observations of a continuous semimartingale. Functional stable central limit theorems are established under high-frequency asymptotics in three setups: onedimensional for the spectral estimator of integrated volatility, from two-dimensional asynchronous...

Persistent link: https://www.econbiz.de/10011277279

Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence

Bibinger, Markus; Reiss, Markus; Hautsch, Nikolaus; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014

We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local average of block-wise parametric spectral covariance...

Persistent link: https://www.econbiz.de/10011277282

The Signal of Volatility

Strohsal, Till; Weber, Enzo - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012

The present study addresses the economic interpretation of stock market volatility. We argue that its character is inherently ambivalent, being considered as an indicator of either information flow or uncertainty.We discriminate between these views by measuring the fraction of price changes that...

Persistent link: https://www.econbiz.de/10011277284

Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes

Bodnar, Taras; Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012

We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and correlations. Modeling the variables’ conditional mean processes using a multiplicative error model we map the resulting...

Persistent link: https://www.econbiz.de/10011277292

Is There an Asymmetric Impact of Housing on Output?

Lee, Tsung-Hsien Michael; Chen, Wenjuan - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015

Numerous papers have tried to understand housing’s role in the economy and have not reached an agreement. In this paper we turn to the asymmetric relationship between housing and the overall economic activity. We find that the relation between building permits and GDP is regime-dependent....

Persistent link: https://www.econbiz.de/10011252586

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