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Modeling electricity spot prices - Combining mean-reversion, spikes and stochastic volatility

Mayer, Klaus; Schmid, Thomas; Weber, Florian - 2011

Starting with the liberalization of electricity trading, this market grew rapidly over the last decade. However, while spot and future markets are rather liquid nowadays, option trading is still limited. One of the potential reasons for this is that the spot price process of electricity is still...

Persistent link: https://www.econbiz.de/10010305714

Myopic Loss Aversion, the Equity Premium Puzzle, and GARCH

Ågren, Martin - 2005

aggregation of GARCH processes of Drost and Nijman (1993). Using Swedish data, our estimation method produces an overall larger …

Persistent link: https://www.econbiz.de/10010321544

ARMA-GARCH Models: Bayes Estimation Versus MLE, and Bayes Non-stationarity Test

Nakatsuma, Teruo; Tsurumi, Hiroki - 1996

We compare small-sample properties of Bayes estimation and maximum likelihood estimation (MLE) of ARMA-GARCH models … method of testing strict stationarity and ergodicity of the conditional variance in the GARCH(1,1) process, near epoch … depencenve (NED), and finiteness of unconditional moments of the GARCH(1,1) process by using a Markov chain Monte Carlo (MCMC …

Persistent link: https://www.econbiz.de/10010334349

Large dynamic covariance matrices

Engle, Robert F.; Ledoit, Olivier; Wolf, Michael - 2017

for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH/GARCH …

Persistent link: https://www.econbiz.de/10011663190

Beyond sorting: A more powerful test for cross-sectional anomalies

Ledoit, Olivier; Wolf, Michael; Zhao, Zhao - 2016

Many researchers seek factors that predict the cross-section of stock returns. The standard methodology sorts stocks according to their factor scores into quantiles and forms a corresponding long-short portfolio. Such a course of action ignores any information on the covariance matrix of stock...

Persistent link: https://www.econbiz.de/10011663197

Assessing Central Bank Credibility During the EMS Crises : Comparing Option and Spot Market-Based Forecasts

Haas, Markus; Mittnik, Stefan; Mizrach, Bruce - 2004

Financial markets embed expectations of central bank policy into asset prices. This paper compares two approaches that extract a probability density of market beliefs. The first is a simulated moments estimator for option volatilities described in Mizrach (2002); the second is a new approach...

Persistent link: https://www.econbiz.de/10010263203

The Compass Rose Pattern of the Stock Market: How Does it Affect Parameter Estimates, Forecasts, and Statistical Tests?

Amilon, Henrik; Byström, Hans - 2000

in different ways to mirror the behavior of stocks on the Stockholm Stock Exchange. We find AR-GARCH parameter estimates …

Persistent link: https://www.econbiz.de/10013208411

Predicting Stock Price Volatility by Analyzing Semantic Content in Media

Asgharian, Hossein; Sikström, Sverker - 2014

Current models for predicting volatility do not incorporate information flow and are solely based on historical volatilities. We suggest a method to quantify the semantic content of words in news articles about a company and use this as a predictor of its stock volatility. The results show that...

Persistent link: https://www.econbiz.de/10013208705

Language, News and Volatility

Byström, Hans - 2014

applications such as GARCH-models or VIX-like fear indexes. …

Persistent link: https://www.econbiz.de/10013208708

An empirical characterization of volatility dynamics in the DAX

Virla, Leonardo Quero - 2021

This paper addresses stock market volatility in Germany between 1991 and 2018. Through a GARCH model with leverage term …

Persistent link: https://www.econbiz.de/10012643577