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A common shock model for multidimensional electricity intraday price modelling with application to battery valuation

Deschatre, Thomas; Warin, Xavier - In: Quantitative finance 24 (2024) 8, pp. 1157-1176

Persistent link: https://www.econbiz.de/10015196875

Volatility Spill-Over of Green Bond with Renewable Energy and Crypto Market : An Application of Battery of Test

Prasad Yadav, Miklesh; Pandey, Asheesh; … - 2022

This paper examines the volatility spill-over of green bonds with renewable energy and the crypto market using daily data extending from 1 October, 2015 to 24 February, 2022. The proxy for the green bonds is S&P Green Bond Index, while renewable energy is measured by MAC global solar energy...

Persistent link: https://www.econbiz.de/10013403321

Are coupled renewable-battery power plants more valuable than independently sited installations?

Gorman, Will; Crespo Montañés, Cristina; Mills, Andrew; … - In: Energy economics 107 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013202692

Non-fundamental exchange rate volatility and welfare

Straub, Roland; Tchakarov, Ivan - 2004

We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on economic activity and welfare. In the first part of the paper, the GARCH-SVARmodel is applied to measure empirically the effect of the conditional exogenous exchange rate...

Persistent link: https://www.econbiz.de/10009636551

Stochastic volatility in interest rates and nonlinearity in velocity

Barnett, William A.; Xu, Haiyang - In: The theory of monetary aggregation, (pp. 274-295). 2000

Persistent link: https://www.econbiz.de/10001508715

Can strategic market making explain asset pricing? : A microstructure analysis of the treasury bond market

Massa, Massimo; Simonov, Andrei - 2000

Persistent link: https://www.econbiz.de/10001508934

Determinants of the implied shadow exchange rates from a target zone

Rangvid, Jesper; Sørensen, Carsten - In: Exchange rate policies for small open economies, (pp. 113-151). 1999

Persistent link: https://www.econbiz.de/10001508939

Leverage and the price volatility of equity shares in equilibrium

Drees, Burkhard; Eckwert, Bernhard - In: The quarterly review of economics and finance : journal … 40 (2000) 2, pp. 155-167

Persistent link: https://www.econbiz.de/10001509383

Index option market activity and cash market volatility under different market conditions : an empirical study from Sweden

Hagelin, Niclas - In: Empirical essays on financial markets, firms, and derivates, (pp. 11-41). 2000

Persistent link: https://www.econbiz.de/10001509964

Expiration day effects of index futures and options : evidence from a market with a long settlement period

Alkebäck, Per; Hagelin, Niclas - In: Empirical essays on financial markets, firms, and derivates, (pp. 43-63). 2000

Persistent link: https://www.econbiz.de/10001509968