Similar Search Results

Higher moments in the fundamental specification of electricity forward prices

Gianfreda, Angelica; Scandolo, Giacomo; Bunn, Derek W. - In: Quantitative finance 22 (2022) 11, pp. 2063-2078

Persistent link: https://www.econbiz.de/10013490922

The connectedness features of German electricity futures over short and long maturities

Gianfreda, Angelica; Scandolo, Giacomo; Bunn, Derek W. - In: Finance research letters 70 (2024), pp. 1-8

Persistent link: https://www.econbiz.de/10015194086

The forecasting performance of a finite mixture regime-switching model for daily electricity prices

Chen, Dipeng; Bunn, Derek W. - In: Journal of forecasting 33 (2014) 5, pp. 364-375

Persistent link: https://www.econbiz.de/10010425623

Fundamental and behavioural drivers of electricity price volatility

Karakatsani, Nektaria V.; Bunn, Derek W. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 4, pp. 1-40

Persistent link: https://www.econbiz.de/10009515139

A stochastic latent moment model for electricity price formation

Gianfreda, Angelica; Bunn, Derek W. - In: Operations research 66 (2018) 5, pp. 1189-1203

Persistent link: https://www.econbiz.de/10011932421

A quantile regression approach to estimating the distribution of multiperiod returns

Taylor, James W. - In: The journal of derivatives : the official publication … 7 (1999) 1, pp. 64-78

Persistent link: https://www.econbiz.de/10001432473

Volatility forecasting with smooth transition exponential smoothing

Taylor, James W. - In: International journal of forecasting 20 (2004) 2, pp. 273-286

Persistent link: https://www.econbiz.de/10002033481

Return-Volatility Relationship : Insights from Linear and Non-Linear Quantile Regression

Allen, David E. - 2013

The purpose of this paper is to examine the asymmetric relationship between price and implied volatility and the associated extreme quantile dependence using linear and non linear quantile regression approach. Our goal in this paper is to demonstrate that the relationship between the volatility...

Persistent link: https://www.econbiz.de/10013083138

Return-volatility relationship : insights from linear and non-linear quantile regression

Allen, David E.; Singh, Abhay Kumar; Powell, Robert; … - 2013

Persistent link: https://www.econbiz.de/10009724826

Using CAViaR models with implied volatility for value-at-risk estimation

Jeon, Jooyoung; Taylor, James W. - In: Journal of forecasting 32 (2013) 1, pp. 62-74

Persistent link: https://www.econbiz.de/10009758719