Showing 1 - 10 of 38
We analyze around 200 different financial time series, i.e. components of Dow Jones, Nasdaq, FTSE and Nikkei with seven different VaR approaches. We differentiate our analysis according to characteristics that can be observed. Our analysis shows that in high risk situations in which the time...
Persistent link: https://www.econbiz.de/10008739198
Persistent link: https://www.econbiz.de/10008739201
Non-linear autoregressive Markov regime-switching models are intuitive. Time-series approaches for the modelling of electricity spot prices are frequently proposed. In this paper, such models are compared with an ordinary linear autoregressive model with regard to their forecast performances....
Persistent link: https://www.econbiz.de/10008916391
The liberalization of electricity markets has triggered research in econometric modelling and forecasting of electricity spot prices. Moreover, both the demand and the supply of electricity are subject to weather conditions. Therefore, we examine the relation between hourly electricity spot...
Persistent link: https://www.econbiz.de/10009019643
As monopolies gave their way to competitive wholesale electricity markets, volumetric risk came into play. Electricity supplier can buy weather derivatives to protect from volumetric risk due to unexpected weather conditions. However, contracts can only be negotiated for weather variables...
Persistent link: https://www.econbiz.de/10009019647
Nonlinear autoregressive Markov regime-switching models are intuitive and frequently proposed time series approaches for the modelling of electricity spot prices. In this paper such models are compared to an ordinary linear autoregressive model with regard to their forecast performance. The...
Persistent link: https://www.econbiz.de/10009019664
Die EZB hat ein neues Bilanzziel. Um eine Billion Euro möchte sie ihre Bilanz ausweiten – auf den Stand vom März 2012 – um Deflationsgefahren vorzubeugen. Dies wirft jedoch neue Fragen auf: Wie bilanziert eigentlich die EZB? Welchen Zielen dient diese Bilanz? Und wie informativ ist die...
Persistent link: https://www.econbiz.de/10011182982
The recent increase of interest rate spreads in Europe and their apparent detachment from underlying fundamental variables has generated a debate on multiple equilibria in the sovereign bond market (see Grauwe and Ji (2012)). We critically evaluate this hypothesis, by pointing towards an...
Persistent link: https://www.econbiz.de/10011182983
Interpreting Granger causality as economic causality implies that the underlying VAR model is a structural economic model. However, this is wrong if simultaneity occurs. Magnitude and stability of possible errors are analysed in a simulation study. It is shown that economic misinterpretations of...
Persistent link: https://www.econbiz.de/10011182984
Central bank credit has expanded dramatically in some of the euro area member countries since the beginning of the financial crisis. This paper makes two contributions to understand this stylized fact. First, we discuss a simple model of monetary policy that includes (i) a credit channel and...
Persistent link: https://www.econbiz.de/10011182985