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An Econometric Model for Intraday Electricity Trading

Kremer, Marcel - 2020

This paper develops an econometric price model with fundamental impacts for intraday electricity markets of 15-minute contracts. A unique data set of intradaily updated forecasts of renewable power generation is analyzed. We use a threshold regression model to examine how 15-minute intraday...

Persistent link: https://www.econbiz.de/10012846723

Intraday Electricity Pricing of Night Contracts

Kremer, Marcel - 2020

This paper investigates the intraday electricity pricing of 15-minute contracts in night hours. We tailor a recently introduced econometric model with fundamental impacts, which is successful in describing the pricing of day contracts. Our estimation results show that mean reversion and the...

Persistent link: https://www.econbiz.de/10012826585

Forecasting volatility in European stock markets with non-linear GARCH models

Forte, Gianfranco; Manera, Matteo - 2002

This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock price indexes. Forecasts produced by each...

Persistent link: https://www.econbiz.de/10011335762

Long-Term Volatility Forecasting

Reitter, Nicholas - 2018

A variety of historical-volatility, peer-historical-volatility, implied-volatility and blended estimators of stock price volatility are developed and tested for a group of large U.S. companies over roughly a thirty-year window. Longer-term historical estimators (up to fifteen years) are found to...

Persistent link: https://www.econbiz.de/10012940220

Complete Analytical Solution of the American Style Option Pricing with Constant and Stochastic Volatilities : A Probability Density Function Approach

Izmailov, Alexander - 2015

Density Functions of Vanilla Options - True Value-at-Risk and Option Based Hedging Strategies”, “Complete Analytical Solution … of the Asian Option Pricing and Asian Option Value-at-Risk Problems. A Probability Density Function Approach” and … “Complete Analytical Solution of the Heston Model for Option Pricing and Value-At-Risk Problems. A Probability Density Function …

Persistent link: https://www.econbiz.de/10013029750

A Complete Analytical Solution of the Asian Option Pricing within the Heston Model for Stochastic Volatility : A Probability Density Function Approach

Izmailov, Alexander - 2015

Density Functions of Vanilla Options - True Value-at-Risk and Option Based Hedging Strategies” and “Complete Analytical … Solution of the Asian Option Pricing and Asian Option Value-at-Risk Problems. A Probability Density Function Approach.” See … Heston Model for Option Pricing and Value-at-Risk Problems: A Probability Density Function Approach”, “Complete Analytical …

Persistent link: https://www.econbiz.de/10013022328

On Attempts to Use Models Incorporating Long-Range Dependence in Long-Term Volatility Forecasting

Reitter, Nicholas - 2018

ARFIMA models, as advocated by Jiang and Tian for use in long-term volatility forecasting, are found in a follow-up empirical study to be dominated by a certain simple historical predictor of stock price volatility at a five-year horizon. (This particular historical predictor is not recommended...

Persistent link: https://www.econbiz.de/10012918264