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An empirical analysis of liquidity and its determinants in the German intraday market for electricity

Hagemann, Simon; Weber, Christoph - 2013

This paper presents a theoretical and empirical analysis of liquidity in the German intraday market for electricity …. Two models that aim at explaining intraday liquidity are developed. The first model considers the fundamental merit …-order and intraday adjustment needs as the drivers of liquidity in a perfectly competitive market. The second model relaxes the …

Persistent link: https://www.econbiz.de/10010433597

Volatility and evaporating liquidity during the bund tantrum

Riordan, Ryan; Schrimpf, Andreas - In: BIS quarterly review : international banking and … (2015), pp. 10-11

Persistent link: https://www.econbiz.de/10011341765

Trading volume and the short and long-run components of volatility

Liesenfeld, Roman - 1997

Persistent link: https://www.econbiz.de/10000641845

Stochastic volatility models : conditional normality versus heavy tailed distributions

Liesenfeld, Roman; Jung, Robert - 1997

Persistent link: https://www.econbiz.de/10000642314

The ARCH effect : a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns

Din, Tarek Mohy el - 1997

Persistent link: https://www.econbiz.de/10000968338

Excess stock returns and news : evidence from European markets

Malliaropulos, Dimitrios - In: European financial management : the journal of the … 4 (1998) 1, pp. 29-46

Persistent link: https://www.econbiz.de/10001244084

Modeling and forecasting realized volatility

Andersen, Torben (contributor) - 2001

Persistent link: https://www.econbiz.de/10001561837

Modeling and forecasting realized volatility

Anderson, Torben G. (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001547064

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raunig, Burkhard - 2002

Persistent link: https://www.econbiz.de/10001650402

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raaij, Gabriela de; Raunig, Burkhard - 2002

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

Persistent link: https://www.econbiz.de/10001657476