Similar Search Results

Efficient electricity portfolios for the United States and Switzerland: An investor view

Krey, Boris; Zweifel, Peter - 2008

This study applies financial portfolio theory to determine efficient electricity-generating technology portfolios for … (MER) electricity portfolio for the United States contains more Coal, Nuclear, and Wind than actual but markedly less Gas … electricity markets. …

Persistent link: https://www.econbiz.de/10010315486

Efficient electricity portfolios for Switzerland and the United States

Krey, Boris; Zweifel, Peter - 2006

This study applies financial portfolio theory to determine efficient electricity-generating technology mixes for … contains Coal generated electricity and Wind, while the MV alternative combines Coal, Nuclear, Oil and Wind. Interestingly, Gas … does not play any role in the determination of efficient electricity portfolios in the United States. …

Persistent link: https://www.econbiz.de/10010315522

Scope of electricity efficiency improvement in Switzerland until 2035

Krey, Boris - 2008

efficient electricity generating technology mixes for Switzerland. The SURE procedure has been applied to filter out the … systematic components of the covariance matrix. Results indicate that risk-averse electricity users in 2035 gain in terms of …

Persistent link: https://www.econbiz.de/10010315520

Eugster, Patrick; Zweifel, Peter - 2006

This contribution starts out by noting a conflict of interest between consumers and insurers. Consumers face positive correlation in their assets (health, wealth, wisdom, i.e. skills), causing them to demand a great deal of insurance coverage. Insurers on the other hand eschew positively...

Persistent link: https://www.econbiz.de/10010315580

Some Financial Implications of Global Warming: an Empirical Assessment

Morana, Claudio; Sbrana, Giacomo - 2018

Concurrent with the rapid development of the market for catastrophe (cat) bonds, a steady decline in their risk premia has been observed. Whether the latter trend is consistent with the evolution of natural disasters risk is an open question. Indeed, a large share of outstanding risk capital in...

Persistent link: https://www.econbiz.de/10011816762

Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - 2014

We investigate the long-run stock-bond correlation using a novel model that combines the dynamic conditional correlation model with the mixed-data sampling approach. The long-run correlation is affected by both macro-finance variables (historical and forecasts) and the lagged realized...

Persistent link: https://www.econbiz.de/10013208704

Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models

Nguyen, Hoang; Virbickaite, Audrone - 2022

Stock and oil relationship is usually time-varying and depends on the current economic conditions. In this study, we propose a new Dynamic Stochastic Mixed data frequency sampling (DSM) copula model, that decomposes the stock-oil relationship into a short-run dynamic stochastic component and a...

Persistent link: https://www.econbiz.de/10013331916

A reality check on the GARCH-MIDAS volatility models

Virk, Nader; Javed, Farrukh; Awartani, Basel - 2021

We employ a battery of model evaluation tests for a broad-set of GARCH-MIDAS models and account for data snooping bias. We document that inferences based on standard tests for GM variance components can be misleading. Our data mining free results show that the gains of macro-variables in...

Persistent link: https://www.econbiz.de/10012654473

Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach

Nguyen, Hoang; Javed, Farrukh - 2021

Stock and bond are the two most crucial assets for portfolio allocation and risk management. This study proposes generalized autoregressive score mixed frequency data sampling (GAS MIDAS) copula models to analyze the dynamic dependence between stock returns and bond returns. A GAS MIDAS copula...

Persistent link: https://www.econbiz.de/10012654485

Dividend momentum and stock return predictability: A Bayesian approach

Antolín-Díaz, Juan; Petrella, Ivan; Rubio-Ramírez, … - 2021

A long tradition in macro finance studies the joint dynamics of aggregate stock returns and dividends using vector autoregressions (VARs), imposing the cross-equation restrictions implied by the Campbell-Shiller (CS) identity to sharpen inference. We take a Bayesian perspective and develop...

Persistent link: https://www.econbiz.de/10012819002

1
2
3
4
5
6
7
8
9
10
Next
Last