coverage or tone to provide the largest forecasting performance improvements in the prediction of the conditional variance of …

an out-of-sample forecasting exercise, the paper shows that the proposed approach performs well as compared to other well …

methods to identify price jumps: Method 1 minimizes the probability of false jump detection (the Type-II Error-Optimal price … jump indicator) and Method 2 maximizes the probability of successful jump detection (the Type-I Error-Optimal price jump … indicator). We show that individual stock markets exhibited differences in price jump intensity before and during the crisis. We …

) for estimation purposes of dependency structures between market participants. Based on the estimated models, we perform …

. Emphasis is given to short-term forecasting of prices and volatility. We find that MS-GARCH models distinguish well between two … design. Our results support the use of MS-GARCH models for risk management, especially because their forecasting ability is …

and the new model achieves higher forecasting performance compared \to a standard DCC model.Appendix is available at …

new model achieves higher forecasting performance compared to a standard DCC model. -- electricity futures ; dynamic … conditional correlations ; forecasting ; multiplicative component …

, Granger causality tests, and an out-of-sample forecasting exercise with 18 competing models with a forecast horizon of 14 days …