This paper introduces the class of volatility modulated Lévy-driven Volterra (VMLV) processes and their important subclass of Lévy semistationary (LSS) processes as a new framework for modelling energy spot prices. The main modelling idea consists of four principles: First, deseasonalised spot...

We show that, in practice, the standard unit root tests, cointegration tests, and similar tests are unreliable. This conclusion is more generally applicable to other regression-based tests. In particular, these tests attempt to solve a problem by creating another problem

The outbreak of COVID-19 in China during the Spring Festival of 2020 is an unprecedented event. Its impact has spread throughout the country and around the world. In order to explore the impact of the epidemic on China's economy, this paper starts with the analysis of the daily railway passenger...

Affine models describe the stylized time-series properties of the term structure of interest rates in a reasonable manner, they generalize relatively easily to higher dimensions, and a vast academic literature exists relating to their implementation. This combination of characteristics makes the...

An effective technique governments use to evaluate the desirability of different financing strategies involves stochastic simulation. This approach requires the postulation of the future dynamics of key macroeconomic variables and the use of those variables in the construction of a debt charge...

This paper models the stochastic behavior of large-scale terrorist events using extreme value methods. We utilize a unique dataset composed of roughly 24,000 observations. These data provide a rich description of domestic and international terrorism between 1968 and 2005. Currently a credible...

Value-at-Risk (VaR) has been widely promoted by the Bank for International Settlement (BIS) as well as central banks of all countries as a way of monitoring and managing market risk and as a basis for setting regulatory minimum capital standards. The revised Basle Accord, implemented in January...

We introduce a three-factor model of electricity spot prices, consisting of a deterministic seasonality and trend function as well as short- and long-term stochastic components, and derive a formula for futures prices. The long-term component is modelled as a Lévy process with increments...

This is the first paper to provide a simple, explicit formula (that doesn’t requirenumerical/computational methods) under stochastic volatility. The formulais as simple as the classical Black-Scholes pricing formula. Furthermore,this paper modifies the Black-Scholes model to make it consistent...