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Dynamic Simultaneous Equations and Panel Data: Small Sample Properties and Regional Factor Demand Modelling for Policy Analysis
Mitze, Timo - 2010
The superiority of full information approaches when estimating a system of equation is well known for large samples. However, less is known about the small sample properties of these estimators relative to limited information approachs. This is especially true for the context of Panel data...
Persistent link: https://www.econbiz.de/10010270271
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Buffering volatility: Storage investments and technology-specific renewable energy support
Abrell, Jan; Rausch, Sebastian; Streitberger, Clemens - 2019
Mitigating climate change will require integrating large amounts of highly intermittent renewable energy (RE) sources in future electricity markets. Considerable uncertainties exist about the cost and availability of future large-scale storage to alleviate the potential mismatch between demand...
Persistent link: https://www.econbiz.de/10011985392
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Volatility modelling and VaR: The case of Bitcoin, Ether and Ripple
Ječmínek, Jakub; Kukalová, Gabriela; Moravec, Lukáš - In: DANUBE: Law, Economics and Social Issues Review 11 (2020) 3, pp. 253-269
GARCH-type models dominate as VaR estimators the overall objective of this paper is to perform comprehensive volatility and … VaR estimation for three major digital assets and conclude which method gives the best results in terms of risk management …. The methods we used are parametric (GARCH and EWMA model), non-parametric (historical VaR) and Monte Carlo simulation …
Persistent link: https://www.econbiz.de/10012622669