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Asymmetric response of public utility stock returns volatility to up and down markets and deregulation

Michelfelder, Richard A. - In: Journal of mathematical finance 8 (2018) 3, pp. 576-598

Persistent link: https://www.econbiz.de/10011968724

Information in electricity forward prices

Michelfelder, Richard A.; Pilotte, Eugene A. - In: Journal of financial and quantitative analysis : JFQA 55 (2020) 8, pp. 2641-2664

Persistent link: https://www.econbiz.de/10012384769

The asymmetric relation between initial margin requirements and stock market volatility across bull and bear markets

Hardouvelis, Gikas A.; Theodossiou, Panayiotis - In: The review of financial studies 15 (2002) 5, pp. 1525-1559

Persistent link: https://www.econbiz.de/10001718740

Electricity Pricing Using a Periodic GARCH-M Model with Conditional Skewness and Kurtosis Components

Ioannides, Filippos; Kosmidou, Kyriaki; Savva, Christos S. - 2021

This paper extends the investigation of the stochastic properties of electricity price growth rates beyond their first two conditional moments allowing for the impact of seasonality on their parameters. The main contributions include the breakdown of electricity price risk into its pure and...

Persistent link: https://www.econbiz.de/10013249671

Skewed generalized error distribution of financial assets and option pricing

Theodossiou, Panayiotis - In: Multinational finance journal : MF ; quarterly … 19 (2015) 3/4, pp. 223-266

Persistent link: https://www.econbiz.de/10011434223

Skewness and the relation between risk and return

Theodossiou, Panayiotis; Savva, Christos S. - In: Management science : journal of the Institute for … 62 (2016) 6, pp. 1598-1609

Persistent link: https://www.econbiz.de/10011502439

Electricity pricing using a periodic GARCH model with conditional skewness and kurtosis components

Ioannidis, Filippos; Kosmidou, Kyriaki; Savva, Christos; … - In: Energy economics 95 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012816560

The asymmetric relation between margin requirements and stock market volatility across bull and bear markets

Hardouvelis, Gikas A. - 1997

Persistent link: https://www.econbiz.de/10013424729