In the literature the effects of weather on electricity sales are well-documented. However, studies that have investigated the impact of weather on electricity prices are still scarce (e.g. Knittel and Roberts, 2005), partly because the wholesale power markets have only recently been...

The Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model, designed to model volatility clustering, exhibits heavy-tailedness regardless of the distribution of its innovation term. When applying the model to financial time series, the distribution of innovations plays an...

Realized kernels introduced by Barndorff-Nielsen et al. (2008) are consistent estimators of the daily integrated volatility in the presence of microstructure noise. A crucial problem by applying realized kernels is the selection of the bandwidth. This paper proposes an iterative plug-in...

This paper empirically analyses the determinants of banks’ systemic importance. With applying a novel measure on the systemic importance to US bank holding companies in 2000–2010, we show that size is an important determinant of systemic importance, but banks with size above a certain...

We analyze the cross-sectional differences in the tail risk of equity returns and identify the drivers of tail risk. We provide two statistical procedures to test the hypothesis of cross-sectional downside tail shape homogeneity. An empirical study of 230 US non-financial firms shows that...

We test for the presence of a systematic tail risk premium in the cross-section of expected returns by applying a measure on the sensitivity of assets to extreme market downturns, the tail beta. Empirically, historical tail betas help to predict the future performance of stocks under extreme...

This paper examines the impact of imposing capital requirements on systemic risk. We use a static model on financial institutions’ risk-taking behavior to quantify the systemic risk in the cross-sectional dimension in both regulated and unregulated systems. Although imposing a capital...

This paper discusses forecasting of long memory and a nonparametric scale function in nonnegative financial processes based on a fractionally integrated Log-ACD (FI-Log-ACD) and its semiparametric extension (Semi-FI-Log-ACD). Necessary and sufficient conditions for the existence of a stationary...

Weather information demonstrates predictive power in forecasting electricity prices in day-ahead markets in real time. In particular, next-day weather forecasts improve the forecast accuracy of Scandinavian day-ahead electricity prices in terms of point and density forecasts. This suggests that...

We use tools of extreme value theory to extract information about rare events from market prices. We find that such information contributes materially to measures of banks' systemic importance. These measures exhibit strong and intuitive relationships with simple characteristics of banks'...