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GARCH Models have become a workhouse in volatility forecasting of financial and monetary market time series. In this article, we assess the small sample properties in estimation and the performance in volatility forecasting of four competing distribution free methods, including quasi-maximum...
Persistent link: https://www.econbiz.de/10010289317
GARCH Models have become a workhouse in volatility forecasting of financial and monetary market time series. In this article, we assess the small sample properties in estimation and the performance in volatility forecasting of four competing distribution free methods, including quasi-maximum...
Persistent link: https://www.econbiz.de/10009660996
Persistent link: https://www.econbiz.de/10003204016
We analyze around 200 different financial time series, i.e. components of Dow Jones, Nasdaq, FTSE and Nikkei with seven different VaR approaches. We differentiate our analysis according to characteristics that can be observed. Our analysis shows that in high risk situations in which the time...
Persistent link: https://www.econbiz.de/10008739198
Persistent link: https://www.econbiz.de/10008739201
The liberalization of electricity markets has triggered research in econometric modelling and forecasting of electricity spot prices. Moreover, both the demand and the supply of electricity are subject to weather conditions. Therefore, we examine the relation between hourly electricity spot...
Persistent link: https://www.econbiz.de/10003329010
Persistent link: https://www.econbiz.de/10014484965
Nonlinear autoregressive Markov regime-switching models are intuitive and frequently proposed time series approaches for the modelling of electricity spot prices. In this paper such models are compared to an ordinary linear autoregressive model with regard to their forecast performance. The...
Persistent link: https://www.econbiz.de/10010298427
The liberalization of electricity markets has triggered research in econometric modelling and forecasting of electricity spot prices. Moreover, both the demand and the supply of electricity are subject to weather conditions. Therefore, we examine the relation between hourly electricity spot...
Persistent link: https://www.econbiz.de/10010298428
As monopolies gave their way to competitive wholesale electricity markets, volumetric risk came into play. Electricity supplier can buy weather derivatives to protect from volumetric risk due to unexpected weather conditions. However, contracts can only be negotiated for weather variables...
Persistent link: https://www.econbiz.de/10010298429