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Model based Monte Carlo pricing of energy and temperature Quanto options

Caporin, Massimiliano; Preś, Juliusz; Torro, Hipolit - In: Energy economics 34 (2012) 5, pp. 1700-1712

Persistent link: https://www.econbiz.de/10009687956

Stochastic household forecasts by coherent random shares predictions

Keilman, Nico; Duin, Coen van - 2014 - This version 14 April 2014

We compute a stochastic household forecast for the Netherlands by the random share method. Time series of shares of persons in nine household positions, broken down by sex and five-year age group for the years 1996-2010 are modelled by means of the Hyndman-Booth-Yasmeen product-ratio variant of...

Persistent link: https://www.econbiz.de/10010354141

Scientific stochastic volatility models for the European carbon markets : forecasting and extracting conditional moments

Solibakke, Per Bjarte - In: International journal of business 19 (2014) 1, pp. 63-98

Persistent link: https://www.econbiz.de/10010344777

Forecasting stochastic volatility characteristics for the financial fossil oil market densities

Solibakke, Per Bjarte - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-17

This paper builds and implements multifactor stochastic volatility models for the international oil/energy markets (Brent oil and WTI oil) for the period 2011-2021. The main objective is to make step ahead volatility predictions for the front month contracts followed by an implication discussion...

Persistent link: https://www.econbiz.de/10012794710

Forecasting nonlinear aggregates and aggregates with time-varying weights

Lütkepohl, Helmut - In: Jahrbücher für Nationalökonomie und Statistik 231 (2011) 1, pp. 107-133

Persistent link: https://www.econbiz.de/10008902887

Bayesian inference for a periodic stochastic volatility model of intraday electricity prices

Smith, Michael Stanley - In: Statistical modelling and regression structures : …, (pp. 353-376). 2010

Persistent link: https://www.econbiz.de/10003964500

Simulation-based valuation of project finance : does model complexity really matter?

Weber, Florian; Schmid, Thomas; Pietz, Matthäus; … - 2010

probability of equity investments in project finance. Model complexity is analyzed along two dimensions: simulation complexity and …. First, we present a simulation-based project finance valuation model. Second, we vary several model aspects in order to …. Regarding simulation complexity, the number of Monte Carlo iterations, the equity valuation method, and the time resolution are …