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estimation techniques. The methodology is applied to electricity market data from Germany. We find that renewable infeed effect …
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In this thesis, a new methodology using convex risk measures is developed to incorporate parameter risk into prices of financial derivatives, provided that a distribution on the parameter space is given. A technique to induce a parameter distribution in case of calibration to market prices is...
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from statistical decision theory to overcome the problem of "elicitability" for ES by jointly modelling ES and VaR, and … propose new dynamic models for these risk measures. We provide estimation and inference methods for the proposed models, and … confirm via simulation studies that the methods have good finite-sample properties. We apply these models to daily returns on …
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