A variety of methods and ideas have been tried for electricity price forecasting (EPF) over the
last 15 years, with varying degrees of success. This review article aims to explain the …

Since the inception of competitive power markets two decades ago, electricity price
forecasting (EPF) has gradually become a fundamental process for energy companies' …

Since its original publication, Value at Risk has become the industry standard in risk
management. Now in its Third Edition, this international bestseller addresses the …

A complete theory for evaluating interval forecasts has not been worked out to date. Most of
the literature implicitly assumes homoskedastic errors even when this is clearly violated, and …

Algorithmic transparency entails exposing system properties to various stakeholders for
purposes that include understanding, improving, and contesting predictions. Until now, most …

In recent decades, developments in the financial sector have played a major role in shaping
macroeconomic outcomes in a wide range of countries. Financial developments have …

Fully revised and restructured, Measuring Market Risk, Second Edition includes a new
chapter on options risk management, as well as substantial new information on parametric …

We modify Adrian and Brunnermeier's (2011) CoVaR, the VaR of the financial system
conditional on an institution being in financial distress. We change the definition of financial …

We analyze the impact of sentiment and attention variables on the stock market volatility by
using a novel and extensive dataset that combines social media, news articles, information …

The Second Edition of this best-selling book expands its advanced approach to financial risk
models by covering market, credit, and integrated risk. With new data that cover the recent …