Chapter 1. Introduction: Applied Operations Research and Financial Modeling in Energy (André Dorsman) -- Chapter 2. Optimization Methods on Electricity Generation and Transmission Expansion Planning Problem (Mahdi Noorizadegan) -- Chapter 3. Demand-Driven Electricity Supply Options of Electric...

We study the predictability of stock returns using an iterative model-building approach known as quantile boosting. Examining alternative return quantiles that represent normal, bull and bear markets via recursive quantile regressions, we trace the predictive value of extensively studied...

In a novel take on the gradual information diffusion hypothesis of Hong et al. (2007), we examine the predictive role of industries over aggregate stock market volatility. Using high frequency data for U.S. industry indexes and various heterogeneous autoregressive (HAR) type and machine learning...