It is commonly known that wholesale spot electricity markets exhibit high price volatility, strong mean-reversion and … volatility is more than fourteen times higher in spike periods than in normal periods. The probability of a spike on any given …

Die Arbeit hat das Ziel, die ursprünglich rein kapitalmarkttheoretisch ausgelegte Optionspreistheorie für das … den Leitlinien der Optionspreistheorie folgen.Mit einer auf die 16 führenden Pharmaunternehmen bezogenen empirischen …

with stochastic volatility and jumps. The jumps do not only occur in the price process, but also in the volatility process …. The jump sizes in the volatility process are exponentially distributed. We extend this model class further by allowing the … jump sizes in the volatility process to follow a Gamma-distribution. This is a generalization of the former model class …

volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

price, volatility and market relationships in the five regional electricity markets in the Australian National Electricity … that assessment of these prices and volatility within and between regional markets allows for better forecasts by … papers explore whether the lagged price and volatility information flows of the connected spot electricity markets can be …