Mots-clés de l'autrice: Electricity Markets ; Multi-Stage Stochastic Programming ; Uncertainty Management ; Decision Making ; Pricing Schemes ; Flexible Demands ; Reserve Markets ; Cost Recovery of Producers ; Renewable Production ; Intra-Day Markets

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to financial stability. In particular, it...