In this paper, we explore two strategies for reducing the cash flow uncertainty of wind power traders ascribed to variable weather conditions. The first strategy is based on the idea of aggregating the output of geographically-dispersed generating units. The second strategy employs financial...

We assess the risk inherent in wind turbine investments that rely on a power market in order to determine the selling price of generated power. Using scenario analysis, we calculate various indexes that attempt to highlight different aspects of the market risk to which the energy producer is...

This paper introduces a general class of combined neural network-GARCH models suitable to financial time series analysis. We put special emphasis on designing a full model-building cycle for this class of models that includes all stages of econometric modelling (specification, estimation and...

We apply linear and nonlinear panel models to investigate fundamentals pricing relationships in the Greek day-ahead power market. We link the persistence behaviour and other dynamic properties of power price trajectories to an extended array of fundamental variables reflecting market conditions...

Part of the accepted wisdom among financial practitioners and academics is the fact that equity returns exhibit significant time-variations in the risk and dependence structure. Recent empirical studies also report an asymmetry in the concurrence of extreme returns, i.e. stocks appear to be more...

We present a framework for designing optimal allocation strategies for large stock portfolios using dynamic factor models and multivariate volatility parametrisations. We attempt to elaborate on the fundamental structure of the Fama and French (FF) factor model with a special focus on the time...

Crucial for asset allocation and portfolio management is the estimation of volatility and covariance structure of asset returns. Even the simplest Markowitz portfolio construction requires estimates of the mean returns, variance and covariances. Various studies show that the calculation of...