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Futures pricing in electricity markets based on stable CARMA spot models

Benth, Fred Espen; Klüppelberg, Claudia; Müller, Gernot; … - In: Energy Economics 44 (2014) C, pp. 392-406

We present a new model for the electricity spot price dynamics, which is able to capture seasonality, low-frequency dynamics and extreme spikes in the market. Instead of the usual purely deterministic trend we introduce a non-stationary independent increment process for the low-frequency...

Persistent link: https://www.econbiz.de/10011100070

Revenues from storage in a competitive electricity market: Empirical evidence from Great Britain

Giulietti, Monica; Grossi, Luigi - Institut d'Economia de Barcelona (IEB), Facultat … - 2013

Despite the high upfront financial costs associated with the existing technologies for energy storage they have become more appealing in recent years in response to the increasing importance of non-dispatchable sources of generation in the energy systems of developed countries. One of the...

Persistent link: https://www.econbiz.de/10010741267

Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis

Hernández, Juan R. - Banco de México - 2014

Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...

Persistent link: https://www.econbiz.de/10010907571

Gecelik Kur Takasi Faizleri ve BIST Gecelik Repo Faizleri

Kucuksarac, Doruk; Ozel, Ozgur - Türkiye Cumhuriyet Merkez Bankası - 2013

Bu calismada gecelik kur takasi faizleri ile BIST Repo-Ters Repo Pazari’ndaki gecelik repo faizleri arasindaki iliski incelenmektedir. Soz konusu faizlerin Turkiye’de para politikasinin aktarim mekanizmasi icerisinde onemli bir yere sahip olmasi sebebiyle iki piyasa arasindaki iliskinin...

Persistent link: https://www.econbiz.de/10010941477

Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

Aït-Sahalia, Yacine; Jacod, Jean - In: Journal of Economic Literature 50 (2012) 4, pp. 1007-50

This paper reports some of the recent developments in the econometric analysis of semimartingales estimated using high frequency financial returns. It describes a simple yet powerful methodology to decompose asset returns sampled at high frequency into their base components (continuous, small...

Persistent link: https://www.econbiz.de/10011014335

A Generalized Autoregressive Conditional Heteroskedasticity Examination of the Relationship between Trading Volume and Conditional Volatility in the Tunisian Stock Market: Evidence...

Belhaj, Fethi; Abaoub, Ezzeddine - In: International Journal of Economics and Financial Issues 5 (2015) 2, pp. 354-364

This paper empirically examines the relationship between trading volume and conditional volatility of returns in the … arrival hypothesis (SIAH). Through this study, we especially aim to test the volatility persistence degree without volume …. Firstly, we confirm the strong positive relationship between trading volume and returns conditional volatility issued from …

Persistent link: https://www.econbiz.de/10011268784

Parametric Inference and Dynamic State Recovery from Option Panels

Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor - National Bureau of Economic Research (NBER) - 2012

the spot volatility extracted from the options and the one obtained nonparametrically from high-frequency data on the … underlying asset. We further construct new formal tests of the model fit for specific regions of the volatility surface and for … index options we extend the popular double-jump stochastic volatility model to allow for time-varying jump risk premia and a …

Persistent link: https://www.econbiz.de/10011271459

A Nonparametric Option Pricing Model Using Higher Moments

Cayton, Peter Julian - Volkswirtschaftliche Fakultät, … - 2015

A nonparametric model that includes non-Gaussian characteristics of skewness and kurtosis is proposed based on the cubic market capital asset pricing model. It is an equilibrium pricing model but risk-neutral valuation can be introduced through return data transformation. The model complies with...

Persistent link: https://www.econbiz.de/10011262870

A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises

Gianfelice, Gianfranco; Marotta, Giuseppe; Torricelli, … - Dipartimento di Economia "Marco Biagi", Università … - 2013

We provide an assessment of the IMF suggestion, based on Severo (2012), to use an index of systemic liquidity risk (SLRI) that could help to estimate a Pigouvian tax on large banks for the externality on the international banking system out of their risk exposure. To this end we compute a...

Persistent link: https://www.econbiz.de/10010678326

State Price Densities implied from weather derivatives

Härdle, Wolfgang Karl; López-Cabrera, Brenda; Teng, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013

A State Price Density (SPD) is the density function of a risk neutral equivalent martingale measure for option pricing, and is indispensible for exotic option pricing and portfolio risk management. Many approaches have been proposed in the last two decades to calibrate a SPD using financial...

Persistent link: https://www.econbiz.de/10010658762

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