Price volatility analysis has been reported in the literature for most competitive electricity markets around the world. However, no studies have been published yet that quantify price volatility in the Ontario electricity market, which is the focus of the present paper. In this paper, a comparative volatility analysis is conducted for the Ontario market and its neighboring electricity markets....

the research problem investigated in this paper is modeling volatility and analyzing risk and return’s relationship in tehran stock exchange using garch-family models including garch(1,1), garch(2,2), egarch(1,1), pgarch(1,1), tgarch(1,1), garch(1,1)-m and cgarch(1,1). using the daily returns of tehran stock exchange companies, we focused on two portfolios of all the companies during a 10-year-...

as renewable energy increasingly penetrates into power grid systems, new challenges arise for system operators to keep the systems reliable under uncertain circumstances, while ensuring high utilization of renewable energy. this paper presents unit commitment (uc) which takes into account the volatility of wind power generation. the uc problem is solved with the forecasted intermittent wind pow...

We investigate whether bonds can hedge volatility risk in the U.S. Treasury market, as predicted by most ‘affine’ term structure models. To this end, we construct powerful and model-free empirical measures of the quadratic yield variation for a cross-section of fixed-maturity zero-coupon bonds (‘realized yield volatility’) through the use of high-frequency data. We find that the yield curve fai...

This paper addresses the following issue: given a set of daily observations on an asset (historical opening, closing, high and low prices), how should one go about estimating the asset’s volatility? We use high-frequency data on very liquid assets to construct daily realized volatility series, which enables us to treat volatility as observed rather than latent. We then compare the empirical per...

This study examines the statistical properties of volatility. Fractal dimension, probability distribution and two-point volatility correlation are used to measure and compare volatility among six di¤erent countries for the 12-year period from Jan. 1 1990 to Dec.31 2001. New York market is found to be the strongest among the six in terms of market e¢ ciency. Moreover, the Tokyo and Singapore mar...

We investigate whether bonds can hedge volatility risk in the U.S. Treasury market, as predicted by most ‘affine’ term structure models. To this end, we construct powerful and model-free empirical measures of the quadratic yield variation for a cross-section of fixed-maturity zero-coupon bonds (‘realized yield volatility’) through the use of high-frequency data. We find that the yield curve fai...

In the first chapter ``Gold, Platinum, and Expected Stock Returns'', I show that the ratio of gold to platinum prices (GP) reveals variation in risk and proxies for an important economic state variable. GP predicts future stock returns in the time-series and explains variation in average stock returns in the cross-section. GP outperforms existing predictors and similar patterns are found in int...

The necessity of an accurate volatility estimate in order to price derivatives, and the time varying nature of volatility, make it imperative to obtain reliable volatility estimates using only the most recent data. More speciically, it is crucial to make use of all the available information. Many volatility estimates are based on the close prices of the instrument alone, despite the fact that h...

We investigate whether bonds can hedge volatility risk in the U.S. Treasury market, as predicted by most ‘affine’ term structure models. To this end, we construct powerful and model-free empirical measures of the quadratic yield variation for a cross-section of fixed-maturity zero-coupon bonds (‘realized yield volatility’) through the use of high-frequency data. We find that the yield curve fai...