Electricity purchasers manage a portfolio of contracts in order to purchase the expected future electricity consumption profile of a company or a pool of clients. This paper proposes a mean-variance framework to address the concept of structuring the portfolio and focuses on how to optimally...

The relationship between stock return volatility and trading volume is analysed by using the modified mixture model (MMM) framework proposed by Andersen (1996). This theory postulates that price changes and volumes are driven by a common latent information process, which is commonly interpreted...

In this paper we present a parsimonious multivariate model for exchange rate volatilities based on logarithmic high-low ranges of daily exchange rates. The multivariate stochastic volatility model decomposes the log range of each exchange rate into two independent latent factors, which could be...