This paper provides insight in the time-varying relation between electricity futures prices and fundamentals in the form of prices of contracts for fossil fuels. As supply curves are not constant and different producers have different marginal costs of production, we argue that the relation...

This paper examines the use of survey-based measures in volatility forecasting. We argue that the dispersion of individual mean return forecasts bridges the gap between individual volatilities and aggregate volatility. We use data coming from a repeated survey to capture volatility and mean...

It is well known that returns on foreign exchange rates are not normal and tend to have fat-tailed distributions. Although the precise magnitude of the tail-fatness is crucial for applications such as risk analysis, little consensus exists in this respect due to estimation problems. In this...