This study applies financial portfolio theory to determine efficient electricity-generating technology portfolios for … decrease of power generation cost (with external costs included), their volatility, by its standard deviation. The 2003 … costs are found to be correlated, Seemingly Unrelated Regression Estimation (SURE) is used to filter out the systematic …

This study applies financial portfolio theory to determine efficient electricity-generating technology mixes for …. Volatility of returns relates to the standard deviation of the cost increase associated with the portfolio, which contains … estimation (SURE) method is applied for filtering out the systematic component of the covariance matrix of the cost changes …

of the time otherwise required. The proposed method is a two-step procedure, separating the estimation of the correlation …The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This …

This study uses Markowitz mean-variance portfolio theory with forecasted data for the years 2005 to 2035 to determine …

predictability, which we label "dividend momentum." Compared to estimation based on ordinary least squares, our restricted …

We investigate the long-run stock-bond correlation using a novel model that combines the dynamic conditional … are simultaneously significant in forecasting the long-run stock-bond correlation. The behavior of the long-run stock-bond …-to-quality phenomenon for the total stock-bond correlation, the long-run correlation tends to be small/negative when the economy is weak. …

(understated). Estimation of different components of volatility is crucial for designing differentiated investing strategies, risk …

Stock and bond are the two most crucial assets for portfolio allocation and risk management. This study proposes … stock returns and bond returns. A GAS MIDAS copula decomposes their relationship into a short-term dependence and a long …