Search Results - subject:"Timescale"

Data-based parametrization for Affine GARCH models across multiple time scales : roughness implications

Escobar, Marcos; Ferrando, Sebastian; Li, Fuyu; Xu, Ke - In: Econometrics : open access journal 13 (2025) 1, pp. 1-17

This paper revisits the topic of time-scale parameterizations of the Heston-Nandi GARCH (1,1) model to create a new … frequencies to let data reveal the correct, data-implied, time-scale parameterizations. We compared the data … propose a theoretically flexible time-scale parameterization compatible with this fBM behavior. In this context, a fractional …

Persistent link: https://www.econbiz.de/10015408198

The tail risk safe haven property of China's energy futures against US market implied volatility

Dai, Xingyu; Dai, Peng-Fei; Wang, Qunwei; Ouyang, Zhi-Yi - In: Journal of management science and engineering 9 (2024) 2, pp. 271-291

This paper analyses the tail risk contagion of US market implied volatility (USIV) on China's energy futures (CEF) markets, exploring how to utilize operations in the CEF to achieve a safe haven. Leveraging CEF characteristics to simultaneously take both long-/short-positions and engage in...

Persistent link: https://www.econbiz.de/10014632205

Risk averse constrained blackbox optimization under mixed aleatory/epistemic uncertainties

Audet, Charles; Bigeon, Jean; Couderc, Romain; … - 2023

Persistent link: https://www.econbiz.de/10014417933

Decarbonising the automotive sector : a primary raw material perspective on targets and timescales

Petavratzi, Evi; Gunn, Gus - In: Mineral economics : raw materials report 36 (2023) 4, pp. 545-561

Persistent link: https://www.econbiz.de/10014444528

Energy Management of Prosumer Communities

Sierla, Seppo (contributor); … - 2021

The penetration of distributed generation, energy storages and smart loads has resulted in the emergence of prosumers: entities capable of adjusting their electricity production and consumption in order to meet environmental goals and to participate profitably in the available electricity...

Persistent link: https://www.econbiz.de/10014323785

Energy management of prosumer communities

Sierla, Seppo (ed.); Pourakbari-Kasmaei, Mahdi (ed.) - 2021

Persistent link: https://www.econbiz.de/10014230381

Modeling the dynamics of European carbon futures price: a Zipf analysis

Zhu, Bangzhu; Ma, Shujiao; Chevallier, Julien; Wei, Yiming - Institut de Préparation à l'Administration et à la … - 2014

This article investigates the European carbon futures price dynamics by applying the Zipf analysis. The results show that: first, carbon price behaviour is asymmetric, and the long-term bearish probability is greater than the long-term bullish probability. Second, time-scales of investment and...

Persistent link: https://www.econbiz.de/10010754734

The Multiscale Causal Dynamics of Foreign Exchange Markets

Bekiros, Stelios; Marcellino, Massimiliano - Department of Economics, European University Institute - 2011

Pound (GBP) and Japanese Yen (JPY). The timescale analysis involves the estimation of linear vis-à-vis nonlinear and …

Persistent link: https://www.econbiz.de/10009024972

European Equity Market Integration and Optimal Investment Horizons – Evidence from Wavelet Analysis

Bruzda, Joanna - In: Dynamic Econometric Models 10 (2010), pp. 15-30

In the paper the process of equity market integration in Europe is examined from the wavelet perspective. The method applied is the Continuous Discrete Wavelet Transform that enables to perform global and local wavelet variance and correlation decompositions. In particular, questions about...

Persistent link: https://www.econbiz.de/10009643052

Variable time scales, agent-based models, and role-playing games: The PIEPLUE river basin management game

Barreteau, O.; Abrami, G. - HAL - 2007

This article presents a specific association of a role-playing game (RPG) and an agent-based model (ABM) aimed at dealing with a large range of time scales. Applications to the field of natural resource management lead one to consider the short time scale of resource use in practice at the same...

Persistent link: https://www.econbiz.de/10008789378