In this paper we analyze the short-term spot price behavior of carbon dioxide (CO2) emission allowances of the new EU-wide CO2 emissions trading system (EU-ETS). After reviewing the stylized facts of this new class of assets we investigate several approaches for modeling the returns of emission...

This paper explores the relationship between currency futures and realised spot rates for the Indian rupee US dollar exchange rate. Using futures contracts with maturities of one, two and three months, we examine the unbiasedness of futures quotes as a predictor of the future spot exchange rate...

The liberalization of electricity markets has forced energy producing companies and traders to calculate costs closer to the profit frontier. Thus, an efficient risk management and risk controlling are needed to ensure the financial survival even during bad times. Using the RAROC methodology we...

In this paper we assess the short-term forecasting power of different time series models in the electricity spot market. In particular we calibrate AR/ARX ("X" stands for exogenous/fundamental variable—system load in our study), AR/ARX-GARCH, TAR/TARX and Markov regime-switching models to...

In this paper, we present a procedure for consistent estimation of the severity and frequency distributions based on incomplete insurance data and demonstrate that ignoring the thresholds leads to a serious underestimation of the ruin probabilities. The event frequency is modelled with a...

We investigate the effects of outlier treatment on the estimation of the seasonal component and stochastic models in electricity markets. Typically, electricity spot prices exhibit features like seasonality, mean-reverting behavior, extreme volatility and the occurrence of jumps and spikes....

In this paper we assess the short-term forecasting power of different time series models in the electricity spot market. In particular we calibrate AR/ARX (''X'' stands for exogenous/fundamental variable -- system load in our study), AR/ARX-GARCH, TAR/TARX and Markov regime-switching models to...

We address the issue of modeling spot electricity prices with regime switching models. After reviewing the stylized facts about power markets we propose and fit various models to spot prices from the Nordic power exchange. Afterwards we assess their performance by comparing simulated and market...

In this paper we assess the short-term forecasting power of different time series models in the electricity spot market. In particular we calibrate AR/ARX (''X'' stands for exogenous/fundamental variable -- system load in our study), AR/ARX-GARCH, TAR/TARX and Markov regime-switching models to...

In this paper we investigate the use of forecast averaging for electricity spot prices. While there is an increasing body of literature on the use of forecast combinations, there is only a small number of applications of these techniques in the area of electricity markets. In this comprehensive...