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Buffering volatility : storage investments and technology-specific renewable energy support

Abrell, Jan; Rausch, Sebastian; Streitberger, Clemens - 2019

Mitigating climate change will require integrating large amounts of highly intermittent renewable energy (RE) sources in future electricity markets. Considerable uncertainties exist about the cost and availability of future large-scale storage to alleviate the potential mismatch between demand...

Persistent link: https://www.econbiz.de/10011962144

The Effect of Variable Renewable Energy Sources on Electricity Price Volatility : The Case of the Iberian Market

Pereira da Silva, Paulo; Horta, Paulo - 2018

The relationship between variable renewable energy supply and electricity price volatility is a controversial issue in the economic literature. In general, the literature has been inconclusive about the sign of the impact of the penetration of these technologies on price volatility. This paper...

Persistent link: https://www.econbiz.de/10014111132

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

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