Since the introduction of volatility derivatives, there has been growing interest in option implied volatility (IV). Many studies have examined informational content, and or forecast accuracy of IV, however there is relatively less work on directly modeling and forecasting IV. This paper uses a...

Intra-day sources of data have proven effective for dynamic volatility and tail risk estimation. Expected shortfall is a tail risk measure, that is now recommended by the Basel Committee, involving a conditional expectation that can be semi-parametrically estimated via an asymmetric sum of...

Previous studies have shown that both height and weight are associated with wages. However, by focusing on interpreting the partial effects of either height or weight on wages while holding all else constant, some gaps in our understanding of the complex relationship between body size and wages...

Bayesian semi-parametric estimation has proven effective for quantile estimation in general and specifically in financial Value at Risk forecasting. Expected short-fall is a competing tail risk measure, involving a conditional expectation beyond a quantile, that has recently been...

A stochastic frontier cost function is estimated using panel data for the electricity generating industry in India. The impact of distributional and functional form assumptions on technical inefficiency and the sources of inefficiency are investigated by using maximum likelihood, GLS and...

The occurrence of extreme movements in the spot price of electricity represent a significant source of risk to retailers. Electricity markets are often structured so as to allow retailers to purchase at an unregulated spot price but then sell to consumers at a heavily regulated price. As such,...