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Ronald Huisman

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Huisman, R. & Koedijik, K.G. & Pownall, R.A.J., 1998. "VaR-x: Fat Tails in Financial Risk Management," Papers 98-54, Southern California - School of Business Administration.

    Cited by:

    1. Wagner, Niklas & Marsh, Terry A., 2005. "Measuring tail thickness under GARCH and an application to extreme exchange rate changes," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 165-185, January.
    2. Kwangmin Jung & Donggyu Kim & Seunghyeon Yu, 2022. "Next generation models for portfolio risk management: An approach using financial big data," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(3), pages 765-787, September.
    3. Pownall, Rachel A. J. & Koedijk, Kees G., 1999. "Capturing downside risk in financial markets: the case of the Asian Crisis," Journal of International Money and Finance, Elsevier, vol. 18(6), pages 853-870, December.
    4. Kyritsis, Evangelos & Serletis, Apostolos, 2017. "The Zero Lower Bound and Market Spillovers: Evidence from the G7 and Norway," Discussion Papers 2017/7, Norwegian School of Economics, Department of Business and Management Science.
    5. Alexander, Carol & Sheedy, Elizabeth, 2008. "Developing a stress testing framework based on market risk models," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2220-2236, October.
    6. Vladimir Rankovic & Mikica Drenovak & Branko Uroševic & Ranko Jelic, 2016. "Mean Univariate-GARCH VaR Portfolio Optimization: Actual Portfolio Approach," CESifo Working Paper Series 5731, CESifo.
    7. Jolanta Tamošaitienė & Vahidreza Yousefi & Hamed Tabasi, 2021. "Project Portfolio Construction Using Extreme Value Theory," Sustainability, MDPI, vol. 13(2), pages 1-13, January.
    8. Campbell-Pownall, R.A.J. & Huisman, R., 2002. "Measuring Credit Spread Risk," ERIM Report Series Research in Management ERS-2002-95-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    9. Gonzalo Cortazar & Alejandro Bernales & Diether Beuermann, 2005. "Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading," Finance 0512030, University Library of Munich, Germany.
    10. Ranković, Vladimir & Ivanović, Miloš & Urošević, Branko & Jelic, Ranko, 2017. "Market risk management in a post-Basel II regulatory environmentAuthor-Name: Drenovak, Mikica," European Journal of Operational Research, Elsevier, vol. 257(3), pages 1030-1044.
    11. Huisman, R. & Huurman, C., 2003. "Fat Tails in Power Prices," ERIM Report Series Research in Management ERS-2003-059-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    12. Knowledge Chinhamu & Chun-Kai Huang & Chun-Sung Huang & Jahvaid Hammujuddy, 2015. "Empirical Analyses of Extreme Value Models for the South African Mining Index," South African Journal of Economics, Economic Society of South Africa, vol. 83(1), pages 41-55, March.
    13. Campbell, Rachel & Huisman, Ronald & Koedijk, Kees, 2001. "Optimal portfolio selection in a Value-at-Risk framework," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1789-1804, September.
    14. Roman Horváth & Boril Sopov, 2015. "GARCH Models, Tail Indexes and Error Distributions: An Empirical Investigation," Working Papers IES 2015/09, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2015.
    15. Campbell, Rachel A.J. & Forbes, Catherine S. & Koedijk, Kees G. & Kofman, Paul, 2008. "Increasing correlations or just fat tails?," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 287-309, March.
    16. Branko Uroševic & Mikica Drenovak & Vladimir Rankovic & Ranko Jelic & Milos Ivanovic, 2016. "Market Risk Management in a Post-Basel II Regulatory Environment," CESifo Working Paper Series 6293, CESifo.
    17. Chiu, Chun-Yuan & Dai, Tian-Shyr & Lyuu, Yuh-Dauh, 2015. "Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes," Applied Mathematics and Computation, Elsevier, vol. 252(C), pages 418-437.
    18. de Jesús, Raúl & Ortiz, Edgar & Cabello, Alejandra, 2013. "Long run peso/dollar exchange rates and extreme value behavior: Value at Risk modeling," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 139-152.
    19. Lin, Chu-Hsiung & Changchien, Chang-Cheng & Kao, Tzu-Chuan & Kao, Wei-Shun, 2014. "High-order moments and extreme value approach for value-at-risk," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 421-434.
    20. Tan, Kok-Hui & Chan, Inn-Leng, 2003. "Stress testing using VaR approach--a case for Asian currencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(1), pages 39-55, February.
    21. Timmy Elenjical & Patrick Mwangi & Barry Panulo & Chun-Sung Huang, 2016. "A comparative cross-regime analysis on the performance of GARCH-based value-at-risk models: Evidence from the Johannesburg stock exchange," Risk Management, Palgrave Macmillan, vol. 18(2), pages 89-110, August.
    22. Puneet Prakash & Vikas Sangwan & Kewal Singh, 2021. "Transformational Approach to Analytical Value-at-Risk for near Normal Distributions," JRFM, MDPI, vol. 14(2), pages 1-19, January.
    23. A. Amendola & V. Candila, 2016. "Evaluation of volatility predictions in a VaR framework," Quantitative Finance, Taylor & Francis Journals, vol. 16(5), pages 695-709, May.
    24. Longin, François, 1999. "From Value at Risk to Stress Testing: The Extreme Value Approach," CEPR Discussion Papers 2161, C.E.P.R. Discussion Papers.
    25. Gita Persand & Chris Brooks, 2003. "Volatility forecasting for risk management," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(1), pages 1-22.
    26. Lesedi Mabitsela & Eben Maré & Rodwell Kufakunesu, 2015. "Quantification of VaR: A Note on VaR Valuation in the South African Equity Market," JRFM, MDPI, vol. 8(1), pages 1-24, February.
    27. Birbil, S.I. & Frenk, J.B.G. & Kaynar, B. & N. Nilay, N., 2008. "Risk measures and their applications in asset management," Econometric Institute Research Papers EI 2008-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

  2. Mark D. Flood Ronald Huisman Kees G. Koedijk and Richard Lyons., 1998. "Search Costs: The Neglected Spread Component," Research Program in Finance Working Papers RPF-285, University of California at Berkeley.

    Cited by:

    1. Rodolfo Apreda, 2003. "On the Extent of Arbitrage Constraints within Transaction Algebras (A non-standard approach)," CEMA Working Papers: Serie Documentos de Trabajo. 239, Universidad del CEMA.
    2. Yalin Gündüz & Torsten Lüdecke & Marliese Uhrig-Homburg, 2007. "Trading Credit Default Swaps via Interdealer Brokers," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(3), pages 141-159, December.
    3. Yin-Wong Cheung & Menzie D. Chinn & Ian W. Marsh, 2000. "How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?," NBER Working Papers 7524, National Bureau of Economic Research, Inc.
    4. Toni Gravelle, 1999. "Liquidity of the Government of Canada Securities Market: Stylized Facts and Some Market Microstructure Comparisons to the United States Treasury Market," Staff Working Papers 99-11, Bank of Canada.
    5. Rudy De Winne & Christophe Majois, 2003. "A comparison of alternative spread décomposition models on Euronext Brussels," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 46(4), pages 91-136.
    6. Rodolfo Apreda, 2001. "The Brokerage of Asymmetric Information," CEMA Working Papers: Serie Documentos de Trabajo. 190, Universidad del CEMA.

Articles

  1. Huisman, Ronald & Huurman, Christian & Mahieu, Ronald, 2007. "Hourly electricity prices in day-ahead markets," Energy Economics, Elsevier, vol. 29(2), pages 240-248, March.

    Cited by:

    1. Deschatre, Thomas & Féron, Olivier & Gruet, Pierre, 2021. "A survey of electricity spot and futures price models for risk management applications," Energy Economics, Elsevier, vol. 102(C).
    2. Marchetti, Isabella & Rego, Erik Eduardo, 2022. "The impact of hourly pricing for renewable generation projects in Brazil," Renewable Energy, Elsevier, vol. 189(C), pages 601-617.
    3. Mara Madaleno & Carlos Pinho, 2010. "Hedging Performance and Multiscale Relationships in the German Electricity Spot and Futures Markets," JRFM, MDPI, vol. 3(1), pages 1-37, December.
    4. Katarzyna Maciejowska & Rafal Weron, 2013. "Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market," HSC Research Reports HSC/13/01, Hugo Steinhaus Center, Wroclaw University of Science and Technology, revised 15 Apr 2013.
    5. Sinha, Pankaj & Mathur, Kritika, 2016. "Empirical Analysis of Developments in the Day Ahead Electricity Markets in India," MPRA Paper 72969, University Library of Munich, Germany.
    6. Radu Porumb & Petru Postolache & George Serițan & Ramona Vatu & Oana Ceaki, 2013. "Load profiles analysis for electricity market," Computational Methods in Social Sciences (CMSS), "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences, vol. 1(2), pages 30-38, December.
    7. Bartosz Uniejewski & Katarzyna Maciejowska, 2022. "LASSO Principal Component Averaging -- a fully automated approach for point forecast pooling," Papers 2207.04794, arXiv.org.
    8. Souhir, Ben Amor & Heni, Boubaker & Lotfi, Belkacem, 2019. "Price risk and hedging strategies in Nord Pool electricity market evidence with sector indexes," Energy Economics, Elsevier, vol. 80(C), pages 635-655.
    9. Eran Raviv & Kees E. Bouwman & Dick van Dijk, 2013. "Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices," Tinbergen Institute Discussion Papers 13-068/III, Tinbergen Institute.
    10. Thao Pham & Killian Lemoine, 2020. "Impacts of subsidized renewable electricity generation on spot market prices in Germany : Evidence from a GARCH model with panel data," Working Papers hal-02568268, HAL.
    11. Huisman, R. & Mahieu, R.J. & Schlichter, F., 2007. "Hedging Exposure to Electricity Price Risk in a Value at Risk Framework," ERIM Report Series Research in Management ERS-2007-013-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    12. Christian Pape & Oliver Woll & Christoph Weber, "undated". "Estimating the value of flexibility from real options: On the accuracy of hybrid electricity price models," EWL Working Papers 1804, University of Duisburg-Essen, Chair for Management Science and Energy Economics.
    13. Thomaidis, Nikolaos S. & Biskas, Pandelis N., 2021. "Fundamental pricing laws and long memory effects in the day-ahead power market," Energy Economics, Elsevier, vol. 100(C).
    14. Marie Bessec & Julien Fouquau & Sophie Meritet, 2014. "Forecasting electricity spot prices using time-series models with a double temporal segmentation," Working Papers 2014-588, Department of Research, Ipag Business School.
    15. Karakatsani, Nektaria V. & Bunn, Derek W., 2008. "Forecasting electricity prices: The impact of fundamentals and time-varying coefficients," International Journal of Forecasting, Elsevier, vol. 24(4), pages 764-785.
    16. Jan Horst Keppler, Sebastien Phan, and Yannick Le Pen, 2016. "The Impacts of Variable Renewable Production and Market Coupling on the Convergence of French and German Electricity Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    17. Zorana Božić & Dušan Dobromirov & Jovana Arsić & Mladen Radišić & Beata Ślusarczyk, 2020. "Power Exchange Prices: Comparison of Volatility in European Markets," Energies, MDPI, vol. 13(21), pages 1-15, October.
    18. Bunn, Derek W. & Chen, Dipeng, 2013. "The forward premium in electricity futures," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 173-186.
    19. Emmanuel Kipchumba Korir & Jane Aduda & Thomas Mageto, 2020. "Forecasting Electricity Prices Using Ensemble Kalman Filter," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 9(1), pages 1-2.
    20. Andreas Gerster, 2016. "Negative price spikes at power markets: the role of energy policy," Journal of Regulatory Economics, Springer, vol. 50(3), pages 271-289, December.
    21. Huisman, Ronald & Stet, Cristian, 2022. "The dependence of quantile power prices on supply from renewables," Energy Economics, Elsevier, vol. 105(C).
    22. Avci-Surucu, Ezgi & Aydogan, A. Kursat & Akgul, Doganbey, 2016. "Bidding structure, market efficiency and persistence in a multi-time tariff setting," Energy Economics, Elsevier, vol. 54(C), pages 77-87.
    23. Weron, Rafał, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," International Journal of Forecasting, Elsevier, vol. 30(4), pages 1030-1081.
    24. Bunn, Derek W. & Gianfreda, Angelica, 2010. "Integration and shock transmissions across European electricity forward markets," Energy Economics, Elsevier, vol. 32(2), pages 278-291, March.
    25. Karakatsani, Nektaria V. & Bunn, Derek W., 2008. "Intra-day and regime-switching dynamics in electricity price formation," Energy Economics, Elsevier, vol. 30(4), pages 1776-1797, July.
    26. Nowotarski, Jakub & Raviv, Eran & Trück, Stefan & Weron, Rafał, 2014. "An empirical comparison of alternative schemes for combining electricity spot price forecasts," Energy Economics, Elsevier, vol. 46(C), pages 395-412.
    27. Nikkinen, Jussi & Rothovius, Timo, 2019. "Market specific seasonal trading behavior in NASDAQ OMX electricity options," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 16-29.
    28. Huisman, R., 2007. "The Influence of Temperature on Spike Probability in Day-Ahead Power Prices," ERIM Report Series Research in Management ERS-2007-039-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    29. Bastos, Guadalupe & García-Martos, Carolina, 2017. "Electricity prices forecasting by averaging dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS 24028, Universidad Carlos III de Madrid. Departamento de Estadística.
    30. Tselika, Kyriaki, 2022. "The impact of variable renewables on the distribution of hourly electricity prices and their variability: A panel approach," Energy Economics, Elsevier, vol. 113(C).
    31. Andrés M. Alonso & Guadalupe Bastos & Carolina García-Martos, 2016. "Electricity Price Forecasting by Averaging Dynamic Factor Models," Energies, MDPI, vol. 9(8), pages 1-21, July.
    32. Redl, Christian & Haas, Reinhard & Huber, Claus & Böhm, Bernhard, 2009. "Price formation in electricity forward markets and the relevance of systematic forecast errors," Energy Economics, Elsevier, vol. 31(3), pages 356-364, May.
    33. Michail I. Seitaridis & Nikolaos S. Thomaidis & Pandelis N. Biskas, 2021. "Fundamental Responsiveness in European Electricity Prices," Energies, MDPI, vol. 14(22), pages 1-14, November.
    34. Christian Pape & Arne Vogler & Oliver Woll & Christoph Weber, 2017. "Forecasting the distributions of hourly electricity spot prices," EWL Working Papers 1705, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised May 2017.
    35. Viehmann, Johannes, 2011. "Risk premiums in the German day-ahead Electricity Market," Energy Policy, Elsevier, vol. 39(1), pages 386-394, January.
    36. Carlo Fezzi & Luca Mosetti, 2018. "Size matters: Estimation sample length and electricity price forecasting accuracy," DEM Working Papers 2018/10, Department of Economics and Management.
    37. Mayer, Klaus & Trück, Stefan, 2018. "Electricity markets around the world," Journal of Commodity Markets, Elsevier, vol. 9(C), pages 77-100.
    38. Avci, Ezgi & Ketter, Wolfgang & van Heck, Eric, 2018. "Managing electricity price modeling risk via ensemble forecasting: The case of Turkey," Energy Policy, Elsevier, vol. 123(C), pages 390-403.
    39. Tashpulatov, Sherzod N., 2013. "Estimating the volatility of electricity prices: The case of the England and Wales wholesale electricity market," Energy Policy, Elsevier, vol. 60(C), pages 81-90.
    40. Christian Redl & Derek Bunn, 2013. "Determinants of the premium in forward contracts," Journal of Regulatory Economics, Springer, vol. 43(1), pages 90-111, January.
    41. Katarzyna Maciejowska & Rafał Weron, 2015. "Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships," Computational Statistics, Springer, vol. 30(3), pages 805-819, September.
    42. Lee, Chien-Chiang & Lee, Jun-De, 2009. "Energy prices, multiple structural breaks, and efficient market hypothesis," Applied Energy, Elsevier, vol. 86(4), pages 466-479, April.
    43. Grzegorz Marcjasz, 2020. "Forecasting Electricity Prices Using Deep Neural Networks: A Robust Hyper-Parameter Selection Scheme," Energies, MDPI, vol. 13(18), pages 1-18, September.
    44. Huisman, R. & Huurman, C. & Mahieu, R.J., 2007. "Hourly Electricity Prices in Day-Ahead Markets," ERIM Report Series Research in Management ERS-2007-002-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    45. Valeria Di Cosmo & Laura Malaguzzi Valeri, 2017. "Wind, Storage, Interconnection and the Cost of Electricity Generation," Working Papers 2017.10, Fondazione Eni Enrico Mattei.
    46. Pasidis, Ilias, 2019. "Congestion by accident? A two-way relationship for highways in England," Journal of Transport Geography, Elsevier, vol. 76(C), pages 301-314.
    47. García-Martos, Carolina & Rodríguez, Julio & Sánchez, María Jesús, 2011. "Forecasting electricity prices and their volatilities using Unobserved Components," Energy Economics, Elsevier, vol. 33(6), pages 1227-1239.
    48. Ikeda, Shin S., 2019. "Illiquidity in the Japan electric power exchange," Journal of Commodity Markets, Elsevier, vol. 14(C), pages 16-39.
    49. Russo, Marianna & Bertsch, Valentin, 2020. "A looming revolution: Implications of self-generation for the risk exposure of retailers," Energy Economics, Elsevier, vol. 92(C).
    50. Guthrie, Graeme & Videbeck, Steen, 2007. "Electricity spot price dynamics: Beyond financial models," Energy Policy, Elsevier, vol. 35(11), pages 5614-5621, November.
    51. Caldana, Ruggero & Fusai, Gianluca & Roncoroni, Andrea, 2017. "Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market," European Journal of Operational Research, Elsevier, vol. 261(2), pages 715-734.
    52. Hao Bai & Shihong Miao & Xiaohong Ran & Chang Ye, 2015. "Optimal Dispatch Strategy of a Virtual Power Plant Containing Battery Switch Stations in a Unified Electricity Market," Energies, MDPI, vol. 8(3), pages 1-22, March.
    53. Hirth, Lion & Khanna, Tarun & Ruhnau, Oliver, 2023. "How aggregate electricity demand responds to hourly wholesale price fluctuations," EconStor Preprints 272048, ZBW - Leibniz Information Centre for Economics.
    54. Bordignon, Silvano & Bunn, Derek W. & Lisi, Francesco & Nan, Fany, 2013. "Combining day-ahead forecasts for British electricity prices," Energy Economics, Elsevier, vol. 35(C), pages 88-103.
    55. Štěpán Kratochvíl & Oldřich Starý, 2013. "Predicting the Prices of Electricity Derivatives on the Energy Exchange," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2013(6), pages 65-81.
    56. Marin Cerjan & Marin Matijaš & Marko Delimar, 2014. "Dynamic Hybrid Model for Short-Term Electricity Price Forecasting," Energies, MDPI, vol. 7(5), pages 1-15, May.
    57. Florian Ziel & Rafal Weron, 2018. "Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks," Papers 1805.06649, arXiv.org.
    58. Cludius, Johanna & Hermann, Hauke & Matthes, Felix Chr. & Graichen, Verena, 2014. "The merit order effect of wind and photovoltaic electricity generation in Germany 2008–2016: Estimation and distributional implications," Energy Economics, Elsevier, vol. 44(C), pages 302-313.
    59. Huisman, R. & Mahieu, R.J. & Schlichter, F., 2009. "Electricity portfolio management : Optimal peak/off-peak allocations," Other publications TiSEM f880b2e6-c56c-483c-9334-9, Tilburg University, School of Economics and Management.
    60. Weron, Rafal, 2008. "Market price of risk implied by Asian-style electricity options and futures," Energy Economics, Elsevier, vol. 30(3), pages 1098-1115, May.
    61. Carlo Fezzi & Derek Bunn, 2010. "Structural Analysis of Electricity Demand and Supply Interactions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(6), pages 827-856, December.
    62. Le Pen, Yannick & Sévi, Benoît, 2010. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Energy Economics, Elsevier, vol. 32(4), pages 758-770, July.
    63. Møller, Niels Framroze & Møller Andersen, Frits, 2015. "An econometric analysis of electricity demand response to price changes at the intra-day horizon: The case of manufacturing industry in West Denmark," MPRA Paper 66178, University Library of Munich, Germany, revised 15 Aug 2015.
    64. Ilias-Nikiforos Pasidis, 2015. "Congestion by accident? Traffic and accidents in England," ERSA conference papers ersa15p1321, European Regional Science Association.
    65. Erdogdu, Erkan, 2016. "Asymmetric volatility in European day-ahead power markets: A comparative microeconomic analysis," Energy Economics, Elsevier, vol. 56(C), pages 398-409.
    66. Muche, Thomas, 2009. "A real option-based simulation model to evaluate investments in pump storage plants," Energy Policy, Elsevier, vol. 37(11), pages 4851-4862, November.
    67. Gerster, Andreas, 2016. "Negative price spikes at power markets: The role of energy policy," Ruhr Economic Papers 636, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    68. Liebl, Dominik, 2010. "Modeling hourly Electricity Spot Market Prices as non stationary functional times series," MPRA Paper 25017, University Library of Munich, Germany.
    69. Qiang Chen & Anush Balian & Mykola Kyzym & Tetiana Salashenko & Inna Gryshova & Viktoriia Khaustova, 2021. "Electricity Markets Instability: Causes of Price Dispersion," Sustainability, MDPI, vol. 13(22), pages 1-19, November.
    70. Ergemen, Yunus Emre & Haldrup, Niels & Rodríguez-Caballero, Carlos Vladimir, 2016. "Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads," Energy Economics, Elsevier, vol. 60(C), pages 79-96.
    71. Palzer, Andreas & Westner, Günther & Madlener, Reinhard, 2012. "Evaluation of Different Hedging Strategies for Commodity Price Risks of Industrial Cogeneration Plants," FCN Working Papers 2/2012, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN), revised Mar 2013.
    72. Moutis, Panayiotis & Skarvelis-Kazakos, Spyros & Brucoli, Maria, 2016. "Decision tree aided planning and energy balancing of planned community microgrids," Applied Energy, Elsevier, vol. 161(C), pages 197-205.
    73. Jónsson, Tryggvi & Pinson, Pierre & Madsen, Henrik, 2010. "On the market impact of wind energy forecasts," Energy Economics, Elsevier, vol. 32(2), pages 313-320, March.
    74. Fanone, Enzo & Gamba, Andrea & Prokopczuk, Marcel, 2013. "The case of negative day-ahead electricity prices," Energy Economics, Elsevier, vol. 35(C), pages 22-34.
    75. Esmaeili Aliabadi, Danial & Chan, Katrina, 2022. "The emerging threat of artificial intelligence on competition in liberalized electricity markets: A deep Q-network approach," Applied Energy, Elsevier, vol. 325(C).
    76. Percebois, Jacques & Pommeret, Stanislas, 2019. "Storage cost induced by a large substitution of nuclear by intermittent renewable energies: The French case," Energy Policy, Elsevier, vol. 135(C).
    77. Olga Y. Uritskaya & Vadim M. Uritsky, 2015. "Predictability of price movements in deregulated electricity markets," Papers 1505.08117, arXiv.org.
    78. Christensen, T.M. & Hurn, A.S. & Lindsay, K.A., 2012. "Forecasting spikes in electricity prices," International Journal of Forecasting, Elsevier, vol. 28(2), pages 400-411.
    79. Frömmel, Michael & Han, Xing & Kratochvil, Stepan, 2014. "Modeling the daily electricity price volatility with realized measures," Energy Economics, Elsevier, vol. 44(C), pages 492-502.
    80. Alvarez-Ramirez, Jose & Escarela-Perez, Rafael, 2010. "Time-dependent correlations in electricity markets," Energy Economics, Elsevier, vol. 32(2), pages 269-277, March.
    81. Uritskaya, Olga Y. & Uritsky, Vadim M., 2015. "Predictability of price movements in deregulated electricity markets," Energy Economics, Elsevier, vol. 49(C), pages 72-81.
    82. Thomas Deschatre & Olivier F'eron & Pierre Gruet, 2021. "A survey of electricity spot and futures price models for risk management applications," Papers 2103.16918, arXiv.org, revised Jul 2021.
    83. Jerzy Rembeza & Grzegorz Przekota, 2022. "Influence of the Industry’s Output on Electricity Prices: Comparison of the Nord Pool and HUPX Markets," Energies, MDPI, vol. 15(16), pages 1-15, August.
    84. Miguel Pinhão & Miguel Fonseca & Ricardo Covas, 2022. "Electricity Spot Price Forecast by Modelling Supply and Demand Curve," Mathematics, MDPI, vol. 10(12), pages 1-20, June.
    85. Santiago Gall n & Jorge Barrientos, 2021. "Forecasting the Colombian Electricity Spot Price under a Functional Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 11(2), pages 67-74.
    86. Hye Yoon Song & Gyu Sub Lee & Yong Tae Yoon, 2019. "Optimal Operation of Critical Peak Pricing for an Energy Retailer Considering Balancing Costs," Energies, MDPI, vol. 12(24), pages 1-20, December.
    87. Florian Ziel & Rafal Weron, 2016. "Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models," HSC Research Reports HSC/16/08, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    88. Hilger, Hannes & Witthaut, Dirk & Dahmen, Manuel & Rydin Gorjão, Leonardo & Trebbien, Julius & Cramer, Eike, 2024. "Multivariate scenario generation of day-ahead electricity prices using normalizing flows," Applied Energy, Elsevier, vol. 367(C).
    89. Serinaldi, Francesco, 2010. "Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2770-2781.
    90. Liebl, Dominik, 2013. "Modeling and Forecasting Electricity Spot Prices: A Functional Data Perspective," MPRA Paper 50881, University Library of Munich, Germany.
    91. Chao Luo, 2018. "Engineering and Economic Analysis for Electric Vehicle Charging Infrastructure --- Placement, Pricing, and Market Design," Papers 1808.03897, arXiv.org.
    92. Cramer, Eike & Witthaut, Dirk & Mitsos, Alexander & Dahmen, Manuel, 2023. "Multivariate probabilistic forecasting of intraday electricity prices using normalizing flows," Applied Energy, Elsevier, vol. 346(C).
    93. Tselika, Kyriaki & Tselika, Maria & Demetriades, Elias, 2024. "Quantifying the short-term asymmetric effects of renewable energy on the electricity merit-order curve," Energy Economics, Elsevier, vol. 132(C).
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    1. Ana-Maria Gavril, 2009. "Exchange Rate Risk: Heads or Tails," Advances in Economic and Financial Research - DOFIN Working Paper Series 35, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
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    6. Marat Ibragimov & Rustam Ibragimov, 2018. "Heavy tails and upper-tail inequality: The case of Russia," Empirical Economics, Springer, vol. 54(2), pages 823-837, March.
    7. Igor Fedotenkov, 2020. "A Review of More than One Hundred Pareto-Tail Index Estimators," Statistica, Department of Statistics, University of Bologna, vol. 80(3), pages 245-299.
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    1. Alessia Naccarato & Andrea Pierini & Giovanna Ferraro, 2021. "Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment," Annals of Operations Research, Springer, vol. 299(1), pages 81-99, April.
    2. Farkas, Walter & Fringuellotti, Fulvia & Tunaru, Radu, 2020. "A cost-benefit analysis of capital requirements adjusted for model risk," Journal of Corporate Finance, Elsevier, vol. 65(C).
    3. Marah-Lisanne Thormann & Phan Tu Vuong & Alain B. Zemkoho, 2024. "The Boosted Difference of Convex Functions Algorithm for Value-at-Risk Constrained Portfolio Optimization," Papers 2402.09194, arXiv.org.
    4. Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 1-29.
    5. Christiane Goodfellow & Christian Salm, 2016. "Risky Risk Measures: A Note On Underestimating Financial Risk Under The Normal Assumption," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 5(2), pages 85-108.
    6. BAUWENS, Luc & BEN OMRANE, Walid & RENGIFO, Erick, 2006. "Intra-daily FX optimal portfolio allocation," LIDAM Discussion Papers CORE 2006010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    7. Bacchetta, Philippe & Tille, Cédric & Wincoop, Eric, 2011. "Self-Fulfilling Risk Panics," Working Papers 2011-003, Banco Central de Reserva del Perú.
    8. Zhichao Zhang & Li Ding & Fan Zhang & Zhuang Zhang, 2015. "Optimal Currency Composition for China's Foreign Reserves: A Copula Approach," The World Economy, Wiley Blackwell, vol. 38(12), pages 1947-1965, December.
    9. Benjamin R. Auer & Benjamin Mögel, 2016. "How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?," CESifo Working Paper Series 6288, CESifo.
    10. Nadima El-Hassan & Paul Kofman, 2003. "Tracking Error and Active Portfolio Management," Australian Journal of Management, Australian School of Business, vol. 28(2), pages 183-207, September.
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    12. Jeroen V.K. Rombouts & Marno Verbeek, 2004. "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Cahiers de recherche 04-14, HEC Montréal, Institut d'économie appliquée.
    13. Mihály Ormos & Dusán Timotity, 2017. "Expected downside risk and asset prices: characteristics of emerging and developed European markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 44(3), pages 529-546, August.
    14. Sun, Xiaolei & Li, Jianping & Tang, Ling & Wu, Dengsheng, 2012. "Identifying the risk-return tradeoff and exploring the dynamic risk exposure of country portfolio of the FSU's oil economies," Economic Modelling, Elsevier, vol. 29(6), pages 2494-2503.
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    16. Fouad Ben Abdelaziz & Ray Saadaoui Mallek, 2018. "Multi-criteria optimal stopping methods applied to the portfolio optimisation problem," Annals of Operations Research, Springer, vol. 267(1), pages 29-46, August.
    17. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2012. "Global Risk Evolution and Diversification: a Copula-DCC-GARCH Model Approach," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(4), pages 529-550.
    18. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2014. "Bank regulation and international financial stability: A case against the 2006 Basel framework for controlling tail risk in trading books," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 107-130.
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    22. Ji Cao & Marc Rieger, 2013. "Risk classes for structured products: mathematical aspects and their implications on behavioral investors," Annals of Finance, Springer, vol. 9(2), pages 167-183, May.
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    28. Lassance, Nathan & Vrins, Frédéric, 2021. "Portfolio selection with parsimonious higher comoments estimation," LIDAM Reprints LFIN 2021005, Université catholique de Louvain, Louvain Finance (LFIN).
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    30. Zhang, Yue-Jun & Chen, Ming-Ying, 2018. "Evaluating the dynamic performance of energy portfolios: Empirical evidence from the DEA directional distance function," European Journal of Operational Research, Elsevier, vol. 269(1), pages 64-78.
    31. Vo, Duc, 2019. "Portfolio Optimization and Diversification in China: Policy Implications for Vietnam and other Emerging Markets," MPRA Paper 103276, University Library of Munich, Germany.
    32. Ann Marie Hibbert & Ivelina Pavlova & Joel Barber & Krishnan Dandapani, 2011. "Credit Spread Changes and Equity Volatility: Evidence from Daily Data," The Financial Review, Eastern Finance Association, vol. 46(3), pages 357-383, August.
    33. Keshavarz Haddad, Gholamreza & Heidari, Hadi, 2020. "Optimal Portfolio Allocation with Price Limit Constraint," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 15(2), pages 123-134, April.
    34. Hammoudeh, Shawkat & Araújo Santos, Paulo & Al-Hassan, Abdullah, 2013. "Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 318-334.
    35. Reza Bradrania & Davood Pirayesh Neghab, 2022. "State-dependent Asset Allocation Using Neural Networks," Papers 2211.00871, arXiv.org.
    36. Giulio PALOMBA & Luca RICCETTI, 2011. "Portfolio Frontiers with Restrictions to Tracking Error Volatility and Value at Risk," Working Papers 358, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
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    40. Ching-Ping Wang & David Shyu & Hung-Hsi Huang, 2005. "Optimal Insurance Design Under a Value-at-Risk Framework," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 30(2), pages 161-179, December.
    41. Erick Rengifo & Emanuela Trifan, 2008. "How Investors Face Financial Risk Loss Aversion and Wealth Allocation," Fordham Economics Discussion Paper Series dp2008-01, Fordham University, Department of Economics.
    42. Bianchi, Robert J. & Bornholt, Graham & Drew, Michael E. & Howard, Michael F., 2014. "Long-term U.S. infrastructure returns and portfolio selection," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 314-325.
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    44. Kaplanski, Guy, 2004. "Traditional beta, downside risk beta and market risk premiums," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(5), pages 636-653, December.
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    46. Marie-Hélène Broihanne & Maxime Merli & Patrick Roger, 2006. "Théorie comportementale du portefeuille. Intérêt et limites," Revue économique, Presses de Sciences-Po, vol. 57(2), pages 297-314.
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    48. Bauwens, Luc & Ben Omrane, Walid & Rengifo, Erick, 2010. "Intradaily dynamic portfolio selection," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2400-2418, November.
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    53. Sharma, Sankalp & Schoengold, Karina, 2016. "A Comparison of Stated and Revealed Risk Preferences using Safety-First," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 236126, Agricultural and Applied Economics Association.
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    57. Su, Kuangxi & Yao, Yinhong & Zheng, Chengli & Xie, Wenzhao, 2023. "A novel hybrid strategy for crude oil future hedging based on the combination of three minimum-CVaR models," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 35-50.
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    60. Taras Bodnar & Taras Zabolotskyy, 2017. "How risky is the optimal portfolio which maximizes the Sharpe ratio?," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 101(1), pages 1-28, January.
    61. Marie Briere & Ombretta Signori, 2009. "Inflation-hedging portfolios in Different Regimes," Working Papers CEB 09-047.RS, ULB -- Universite Libre de Bruxelles.
    62. Luca Riccetti, 2012. "Using tracking error volatility to check active management and fee level of investment funds," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 14(3), pages 139-158.
    63. Ricca, Federica & Scozzari, Andrea, 2024. "Portfolio optimization through a network approach: Network assortative mixing and portfolio diversification," European Journal of Operational Research, Elsevier, vol. 312(2), pages 700-717.
    64. Kung, James J., 2009. "A two-asset stochastic model for long-term portfolio selection," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(10), pages 3089-3098.
    65. Sarafrazi, Soodabeh & Hammoudeh, Shawkat & AraújoSantos, Paulo, 2014. "Downside risk, portfolio diversification and the financial crisis in the euro-zone," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 368-396.
    66. Dark, Jonathan, 2024. "An adaptive long memory conditional correlation model," Journal of Empirical Finance, Elsevier, vol. 75(C).
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    68. Lord Mensah, 2016. "Asset Allocation Brewed Accross African Stock Markets," Proceedings of Economics and Finance Conferences 3205757, International Institute of Social and Economic Sciences.
    69. Mazin Al Janabi, 2013. "Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives," Annals of Operations Research, Springer, vol. 205(1), pages 109-139, May.
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    71. Benati, Stefano & Rizzi, Romeo, 2007. "A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem," European Journal of Operational Research, Elsevier, vol. 176(1), pages 423-434, January.
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    Cited by:

    1. Geert Bekaert & Robert J. Hodrick, 2000. "Expectations Hypotheses Tests," NBER Working Papers 7609, National Bureau of Economic Research, Inc.
    2. Virginie Coudert & Valérie Mignon, 2013. "The ‘Forward Premium Puzzle’ and the Sovereign Default risk," Post-Print hal-01385839, HAL.
    3. Adrien Verdelhan, 2012. "The Share of Systematic Variation in Bilateral Exchange Rates," 2012 Meeting Papers 763, Society for Economic Dynamics.
    4. Ozgur Aslan & H. Levent Korap, 2010. "Does the uncovered interest parity hold in short horizons?," Applied Economics Letters, Taylor & Francis Journals, vol. 17(4), pages 361-365.
    5. Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889.
    6. Christophe Chamley, 2006. "Complementarities in information acquisition with short-term trades," Boston University - Department of Economics - Working Papers Series WP2006-042, Boston University - Department of Economics.
    7. Hiro Ito & Menzie Chinn, 2007. "Price‐Based Measurement Of Financial Globalization: A Cross‐Country Study Of Interest Rate Parity," Pacific Economic Review, Wiley Blackwell, vol. 12(4), pages 419-444, October.
    8. Lucio Sarno, 2005. "Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand?," Canadian Journal of Economics, Canadian Economics Association, vol. 38(3), pages 673-708, August.
    9. Sercu, Piet & Vandebroek, Martina & Wu, Xueping, 2008. "Is the forward bias economically small? Evidence from European rates," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1284-1302, December.
    10. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2008. "Common Risk Factors in Currency Markets," NBER Working Papers 14082, National Bureau of Economic Research, Inc.
    11. Wagner, Christian, 2012. "Risk-premia, carry-trade dynamics, and economic value of currency speculation," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1195-1219.
    12. Chinn, Menzie D., 2006. "The (partial) rehabilitation of interest rate parity in the floating rate era: Longer horizons, alternative expectations, and emerging markets," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 7-21, February.
    13. Simpson, Marc W. & Grossmann, Axel, 2014. "An examination of the forward prediction error of U.S. dollar exchange rates and how they are related to bid-ask spreads, purchasing power parity disequilibria, and forward premium asymmetry," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 221-238.
    14. Li, Jing & Miller, Norman C., 2015. "Foreign exchange market inefficiency and exchange rate anomalies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 311-320.
    15. Hanno Lustig & Adrien Verdelhan, 2009. "Comment on "Carry Trades and Currency Crashes"," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 361-384, National Bureau of Economic Research, Inc.
    16. Hiroshi Sasaki, 2015. "Understanding Delta-Hedged Option Returns in Stochastic Volatility Environments," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(2), pages 151-184, May.
    17. Yamani, Ehab, 2021. "Foreign exchange market efficiency and the global financial crisis: Fundamental versus technical information," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 74-89.
    18. Sercu, Piet & Vandebroek, Martina, 2005. "What UIP tests on extreme samples reveal about the missing variable," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1237-1260, December.
    19. Jeffrey Frankel & Jumana Poonawala, 2006. "The Forward Market in Emerging Currencies: Less Biased Than in Major Currencies," NBER Working Papers 12496, National Bureau of Economic Research, Inc.
    20. Beyaert, Arielle & Garcia-Solanes, Jose & Perez-Castejon, Juan J., 2007. "Uncovered interest parity with switching regimes," Economic Modelling, Elsevier, vol. 24(2), pages 189-202, March.
    21. Mulder, Arjen & Tims, Ben, 2018. "Conditioning carry trades: Less risk, more return," Journal of International Money and Finance, Elsevier, vol. 85(C), pages 1-19.
    22. Craighead, William D. & Davis, George K. & Miller, Norman C., 2010. "Interest differentials and extreme support for uncovered interest rate parity," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 723-732, October.
    23. Huisman, R. & Mahieu, R.J. & Mulder, A., 2007. "Do Exchange Rates Move in Line With Uncovered Interest Parity?," ERIM Report Series Research in Management ERS-2007-012-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    24. Grossmann, Axel & Orlov, Alexei G., 2022. "Exchange rate misalignments, capital flows and volatility," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    25. Baillie, Richard T. & Kilic, Rehim, 2006. "Do asymmetric and nonlinear adjustments explain the forward premium anomaly?," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 22-47, February.
    26. Wolff, Christian & Bams, Dennis & Walkowiak, Kim, 2003. "More Evidence on the Dollar Risk Premium in the Foreign Exchange Market," CEPR Discussion Papers 3726, C.E.P.R. Discussion Papers.
    27. Muhammad Omer & Jakob de Haan & Bert Scholtens, 2013. "Does Uncovered Interest Rate Parity Hold After All?," SBP Working Paper Series 57, State Bank of Pakistan, Research Department.
    28. Levent, Korap, 2007. "Does the interest differential explain future exchange rate return? a re-examination of the UIP hypothesis for the Turkish economy," MPRA Paper 19618, University Library of Munich, Germany.
    29. Grossmann, Axel & Simpson, Marc W., 2015. "Bid-ask spreads, deviations from PPP and the forward prediction error: The case of the British pound and the euro," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 124-139.
    30. Cappiello, Lorenzo & Mehl, Arnaud, 2007. "Uncovered interest parity at distant horizons: evidence on emerging economies & nonlinearities," Working Paper Series 801, European Central Bank.
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