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Regulatory changes and the volatility of stock returns : the German solar energy sector

Schiereck, Dirk; Trillig, Julian - In: International journal of energy sector management : IJESM 8 (2014) 2, pp. 160-177

Persistent link: https://www.econbiz.de/10010379435

A stochastic time-series model for solar irradiation

Larsson, Karl; Green, Rikard; Benth, Fred Espen - In: Energy economics 117 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014437109

Regulatory changes and the volatility of stock returns – the German solar energy sector

Schiereck, Dirk; Trillig, Julian - In: International Journal of Energy Sector Management 8 (2014) 2, pp. 160-177

Purpose – The purpose of this paper is to determine the impact of political risk on the German solar energy industry … EGARCH model assessing potential changes in conditional volatility response of solar industry stock returns following … political risk events. Findings – The results document major changes in political support of the solar industry drive capital …

Persistent link: https://www.econbiz.de/10014774058

Filtering and forecasting with misspecified ARCH models I : getting the right variance with the wrong model

Nelson, Daniel B. - 1990

Persistent link: https://www.econbiz.de/10000811128

Forecasting, misspecification and unit roots : the case of AR(1) versus ARMA(1,1)

Magnus, Jan R.; Pesaran, Bahram - 1990

Persistent link: https://www.econbiz.de/10000782912

Likelihood inference for a nonstationary fractional autoregressive model

Johansen, Søren (contributor); … - 2008

This paper discusses model-based inference in an autoregressive model for fractional processes which allows the process to be fractional of order d or d-b. Fractional differencing involves infinitely many past values and because we are interested in nonstationary processes we model the data...

Persistent link: https://www.econbiz.de/10003742080

Non-negativity conditions for the hyperbolic GARCH model

Conrad, Christian (contributor) - 2007

In this article we derive conditions which ensure the non-negativity of the conditional variance in the Hyperbolic GARCH(p; d; q) (HYGARCH) model of Davidson (2004). The conditions are necessary and sufficient for p < 2 and sufficient for p > 2 and emerge as natural extensions of the inequality constraints derived in...</2>

Persistent link: https://www.econbiz.de/10003762825

Information in the revision process of real-time datasets

Corradi, Valentina; Fernández, Andrés; Swanson, Norman R. - 2008

Persistent link: https://www.econbiz.de/10003767421

Specification testing in discretized diffusion models : theory and practice

Gao, Jiti; Casas, Isabel - In: Journal of econometrics 147 (2008) 1, pp. 131-140

Persistent link: https://www.econbiz.de/10003783793

Out-of-sample comparison of Copula specifications in multivariate density forecasts

Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008

Persistent link: https://www.econbiz.de/10003787159

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