wholesale power markets have only recently been deregulated. We introduce the weather factor into well-known forecasting models …

explores various specifications of decompositions and various forecasting experiments. The result from these horse-races is … for richer forecasting specifications, the paper shows, using Bayesian model averaging techniques (BMA), that the …

(asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We … variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared … topure asMA and no-change forecasts. This is done both in terms ofconditional mean forecasting as well as in terms of risk …

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

provide a theoretical justification of the use of random subspace methods and show their usefulness when forecasting monthly …

The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … forecasting weekly and monthly horizons. …

In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector …