GARCH Models have become a workhouse in volatility forecasting of financial and monetary market time series. In this article, we assess the small sample properties in estimation and the performance in volatility forecasting of four competing distribution free methods, including quasi-maximum...

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...

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...