Financial derivatives are important hedging tool for asset’s manager. Electricity is by its very nature the most … restructuring of the sector, electricity markets continue to be considerably less liquid than other commodities. This paper tries to …

paper is to show that Variational Inequalities Problems provide a natural tool for modeling electricity restructuring in a …

Carbon leakage in this pape ris the phenomenon whereby Electricity Intensive Industries subject to harsh environmental … free emission allowances with a pricing of electricity whereby energy emissions and transmission costs are bundled and sold …. Industries purchase electricity according to some form of average cost price, the rest of the market is supplied at marginal cost …

) to analyse competitive electricity systems. We establish correspondences between these different models though a single …

changes in the dynamics of the series, for specifying models parsimoniously, and may be helpful in forecasting. We propose the …

This paper compares the forecasting performance of different models which have been proposed for forecasting in the … forecasting in the vast majority of cases. However, we find no single forecasting model consistently works best in the presence of …

This paper addresses the question of the selection of multivariate GARCH models in terms of variance matrix forecasting …

– 2010 I exhaustively evaluate the forecasting properties of Bayesian shrinkage in regressions with many predictors. Results …

The deregulation of European electricity markets has led to an increasing need in understanding the volatility and … correlation structure of electricity prices. We model a multivariate futures series of the European Energy Exchange (EEX) index …-term contracts and the new model achieves higher forecasting performance compared to a standard DCC model. …