In many electricity markets, retailers purchase electricity at an unregulated spot price and
sell to consumers at a heavily regulated price. Consequently, the occurrence of spikes in the …

The quality of short-term electricity load forecasting is crucial to the operation and trading
activities of market participants in an electricity market. In this paper, it is shown that a multiple …

Abnormally high price spikes in spot electricity markets represent a significant risk to market
participants. As such, a literature has developed that focuses on forecasting the probability …

This paper tests the main implications of models of irreversible investment using data from
operations in the oil fields in the North Sea. Discrete-time hazard regression models are used …

Maximum-likelihood estimates of the parameters of stochastic differential equations are
consistent and asymptotically efficient, but unfortunately difficult to obtain if a closed-form …

A method for estimating the parameters of stochastic differential equations (SDEs) by simulated
maximum likelihood is presented. This method is feasible whenever the underlying SDE …

Techniques for evaluating and selecting multivariate volatility forecasts are not yet understood
as well as their univariate counterparts. This paper considers the ability of different loss …

This article describes a maximum likelihood method for estimating the parameters of the
standard square-root stochastic volatility model and a variant of the model that includes jumps …

This paper considers the transmission of volatility in global foreign exchange, equity and
bond markets. Using a multivariate GARCH framework which includes measures of realised …

Successful deregulation in electricity markets depends crucially on the ability of market
regulation to promote and maintain free competition. There are, however, important physical …