We propose a dynamic generalization of the Capital Asset Pricing Model (CAPM) that allows for a time-varying market price of risk (MPR) reflecting both cross market dependence and future investment opportunities. The realized volatility approach is employed to determine market risk. The...

The empirical evidence behind the dynamics of high frequency based measures of volatility is that they exhibit persistence and at times abrupt changes in the average level by subperiods. In the past ten years this pattern has a clear interpretation in reference to the dot com bubble, the quiet...

Realized volatility of financial time series generally shows a slow–moving average level from the early 2000s to recent times, with alternating periods of turmoil and quiet. Modeling such a pattern has been variously tackled in the literature with solutions spanning from long–memory, Markov...

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...

We examine possible accuracy gains from forecast averaging in the context of interval forecasts of electricity spot prices. First, we test whether constructing empirical prediction intervals (PI) from combined electricity spot price forecasts leads to better forecasts than those obtained from...

A variety of methods and ideas have been tried for electricity price forecasting (EPF) over the last 15 years, with varying degrees of success. This review article aims at explaining the complexity of available solutions, their strengths and weaknesses, and the opportunities and treats that the...

A variety of methods and ideas have been tried for electricity price forecasting (EPF), with varying degrees of success. This review article aims at explaining the complexity of available solutions, their strengths and weaknesses, and the opportunities and treats that the forecasting tools offer...

The French wholesale market is set to expand in the next few years under European pressure and national decisions. In this paper, we assess the forecasting ability of several classes of time series models for electricity wholesale spot prices at a day-ahead horizon in France. Electricity spot...

This paper investigates the forecasting performance for CDS spreads of both linear and non-linear models by analysing the iTraxx Europe index during the financial crisis period which began in mid-2007. The statistical and economic significance of the models' forecasts are evaluated by employing...

When a price limit regime exists for all of the stocks involved in an index, the index return is an aggregate of limited variables and thereby it is restricted to the same limits. We argue that neither a censored nor a truncated distribution model is appropriate for the aggregate return. The...