The availability of high-frequency trading data and developments in computing technology make it possible to evaluate Intraday Value-at-Risk (IVaR), a useful risk management tool for investors and regulators. In this paper, we propose a new model to evaluate and predict the IVaR for stocks based...

This work models the spillover of liquidity and volatility and their joint dynamics in the Chinese stock market. Methodologically, we implement a copula-based vector multiplicative error model for sectors. Utilizing intraday data from 2014 to 2022, our empirical analysis reveals strong...

Forecasting price spikes is a timely issue for the deregulated electricity market. Traditional price forecasting techniques show poor performance in handling price spikes, which usually follow a pattern different from the prices under normal market conditions. Therefore, novel approaches are...

We compare the effects of environmental reform and harmonization in the short and the long run, under autarky and free trade. With trade, harmonization of policies, even if achieved by lowering standards in one country, can improve short run aggregate welfare and increase the likelihood of...