Market risks are the prospect of financial losses- or gains- due to unexpected changes in market prices and rates. Evaluating the exposure to such risks is nowadays of primary concern to risk managers in financial and non-financial institutions alike. Until late 1980s market risks were estimated...

In this paper we assess the short-term forecasting power of different time series models in the electricity spot market. In particular we calibrate AR/ARX (''X'' stands for exogenous/fundamental variable -– system load in our study), AR/ARX-GARCH, TAR/TARX and Markov regime-switching models to...

In this paper we assess the short-term forecasting power of different time series models in the electricity spot market. In particular we calibrate AR/ARX ("X" stands for exogenous/fundamental variable—system load in our study), AR/ARX-GARCH, TAR/TARX and Markov regime-switching models to...

Rainer Göb, Kristina Lurz and Antonio Pievatolo (hereinafter GLP) address a very important issue in power systems management—load forecasting. Generally, load forecasting is concerned with the accurate prediction of the electric load (or demand) for specific geographical locations and over...

In January 2005 the EU-wide CO2 emissions trading system (EU-ETS) has formally entered into operation.Within the new trading system, the right to emit a particular amount of CO2 becomes a tradable commodity - called EU Allowances (EUAs) - and affected companies, traders and investors will face...

Many of the concepts in theoretical and empirical finance developed over thepast decades - including the classical portfolio theory, the Black-Scholes-Mertonoption pricing model and the RiskMetrics variance-covariance approach toValue at Risk (VaR) - rest upon the assumption that asset returns...

Many of the concepts in theoretical and empirical finance developed over the past decades – including the classical portfolio theory, the Black-Scholes-Merton option pricing model or the RiskMetrics variance-covariance approach to VaR – rest upon the assumption that asset returns follow a...