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Modelling the distribution of day-ahead electricity returns : a comparison
Sapio, Sandro - 2010
-ahead electricity markets (NordPool, APX, Powernext) by fitting some flexible and general families of distributions, such as the α … transform and volatility rescaling tend to dampen the extreme returns. -- Electricity prices ; α-stable ; Normal Inverse …
Persistent link: https://www.econbiz.de/10008736167
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The regulation of electricity : results from an event study
Dnes, Antony W.; Seaton, Jonathan S. - In: Applied economics 31 (1999) 5, pp. 609-618
Persistent link: https://www.econbiz.de/10001418909
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Volatility Spillover from World Oil Spot Markets to Aggregate and Electricity Stock Index Returns in Turkey
Soytas, Ugur - 2020
This study examines the inter-temporal links between world oil prices, ISE 100 and ISE electricity index returns … oil prices Granger cause electricity index and adjusted electricity index returns in variance, but not the aggregate …
Persistent link: https://www.econbiz.de/10012857517
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Risk Factors in Energy Utility Returns : An Augmented-Four-Factor Model
Tulloch, Daniel J. - 2016
In this paper we utilise the risk factors from both the finance and energy economics literatures to develop an improved asset pricing model (the Augmented-Four-Factor Model or AFFM) in the context of the European energy utility sector. In addition, we undertake inter-sectoral and inter-temporal...
Persistent link: https://www.econbiz.de/10012997935
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Does speculation Granger cause return in Chinese commodity markets?
Hu, Weigang; Feng, Yun - In: Applied economics letters 23 (2016) 4/6, pp. 294-297
Persistent link: https://www.econbiz.de/10011430469
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Predictable return distributions
Pedersen, Thomas Q. - In: Journal of forecasting 34 (2015) 2, pp. 114-132
Persistent link: https://www.econbiz.de/10011305289
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Monetary environments and stock returns : international evidence based on the quantile regression technique
Chevapatrakul, Thanaset - In: International review of financial analysis 38 (2015), pp. 83-108
Persistent link: https://www.econbiz.de/10011337628
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A simple two-component model for the distribution of intraday returns
Coroneo, Laura; Veredas, David - In: The European journal of finance 18 (2012) 9/10, pp. 775-797
Persistent link: https://www.econbiz.de/10009691780
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The determinants of quantile autocorrelations : evidence from the UK
Ge̜bka, Bartosz; Wohar, Mark E. - In: International review of financial analysis 29 (2013), pp. 51-61
Persistent link: https://www.econbiz.de/10010244128
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Forecasting the return distribution using high-frequency volatility measures
Hua, Jian; Manzan, Sebastiano - In: Journal of banking & finance 37 (2013) 11, pp. 4381-4403
Persistent link: https://www.econbiz.de/10010247031