The importance of solar energy has been growing in recent years. This raises the need for efficient modelling and forecasting methods. The existing methods are predominantly based on weather predictions or forecast solar radiation, which is not easy to convert into production forecast. Instead...

We do comparison between maximal and daily average production of photovoltaic (PV) and wind energy based on a transmission operator in Germany by using statistical analysis with di erent seasonality function. We adopt sun intensity as a seasonal function for PV and trigonometric function for...

Stock picking is the field of financial analysis that is of particular interest for many professional investors and researchers. In this study stock picking is implemented via binary classification trees. Optimal tree size is believed to be the crucial factor in forecasting performance of the...

We investigate the performance of the German equity mutual fund industry over 20 years (monthly data 1990-2009) using the false discovery rate (FDR) to examine both model selection and performance measurement. When using the Fama-French three factor (3F) model (with no market timing) we find at...

Daily returns of financial assets are frequently found to exhibit positive autocorrelation at lag 1. When specifying a linear AR(l) conditional mean, one may ask how this predictability affects option prices. We investigate the dependence of option prices on autoregressive dynamics under...

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...

In the paper we test for the different reactions of stock markets to the current financial crisis. We focus on Central European stock markets, namely the Czech, Polish and Hungarian ones, and compare them to the German and U.S. benchmark stock markets. Using wavelet analysis, we decompose a time...

The so-called 'Monday effect ' has been found for various stock markets of the world. The empirical finding that Monday returns are significantly smaller than returns measured for the remaining days of the week calls the efficiency hypothesis for pricing processes operating on stock markets into...

We provide a method for distinguishing long-range dependence from deterministic trends such as structural breaks. The method is based on the comparison of standard log-periodogram regression estimation of the memory parameter with its tapered counterpart. The difference of these estimators...