This study investigates the predictability of a fixed uncertainty index (UI) for realized variances (volatility) in the international stock markets from a high-frequency perspective. We construct a composite UI based on the scaled principal component analysis (s-PCA) method and demonstrate that...

Participation of nondispatchable renewable energy resources (RER) such as wind turbines (WT) and photovoltaic (PV) systems is one of the main challenges of these clean energy resources. Due to the uncertain nature of these resources, predictions of their amount of power in the day-ahead market...

This paper investigates how to improve prediction accuracy of stock realized volatility using a large set of predictors. Exploiting normalized positive adjusted R-square and significant t statistic of predictor obtained from the in-sample result as weight, we develop two simple and effective...