Browsing by Subject "Volatility"

Now showing items 1-9 of 9

    • Conference Object  

      Exploring Price Classification in Day Ahead Electricity Markets through Graph Theory and PNN Modelling 

      Loizidis, Stylianos; Kyprianou, Andreas; Georghiou, George E. (2023)
      This paper delves into the intersection of graph theory and electricity market data analysis. The introductory section lays the foundation by elucidating the theoretical underpinnings of graph theory and its relevance to ...
    • Conference Object  

      Extreme supervised algorithm for day ahead market price forecasting 

      Loizidis, Stylianos; Theocharides, Spyros; Venizelou, Venizelos; Evagorou, Demetres; Makrides, George; Kyprianou, Andreas; Georghiou, George E. (IEEE, 2023)
      Deregulation of electricity markets has ushered in a new era of heightened competition, allowing for the inclusion of fresh market entrants. However, market participation bears challenges related the extremely high volatility ...
    • Article  

      Financial time series and volatility prediction using NoVaS transformations 

      Politis, Dimitris Nicolas; Thomakos, D. D. (2008)
      We extend earlier work on the NoVaS transformation approach introduced by Politis (2003a, 2003b). The proposed approach is model-free and especially relevant when making forecasts in the context of model uncertainty and ...
    • Article  

      How different are Monetary Unions to national economies according to prices? 

      Glushenkova, Marina; Zachariadis, Marios (Wiley, 2022-09)
      Not that different. Based on a unique dataset of semi-annual microeconomic price levels of goods and services across and within countries for 1990:1–2018:2, we show that time-series volatility and cross-sectional dispersion ...
    • Article  

      Log-linear Poisson autoregression 

      Fokianos, Konstantinos; Tjøstheim, D. (2011)
      We consider a log-linear model for time series of counts. This type of model provides a framework where both negative and positive association can be taken into account. In addition time dependent covariates are accommodated ...
    • Article  

      Model-free versus model-based volatility prediction 

      Politis, Dimitris Nicolas (2007)
      The well-known ARCH/GARCH models for financial time series have been criticized of late for their poor performance in volatility prediction, that is, prediction of squared returns.1 Focusing on three representative data ...
    • Article  

      On modelling speculative prices: the empirical literature 

      Andreou, Elena; Pittis, Nikitas; Spanos, Aris (2001)
      Traditionally, financial theory and in particular asset pricing models have assumed (implicitly or explicitly) a certain probabilistic structure for speculative prices. The probabilistic structure is usually defined in ...
    • Article  

      Rolling-sample volatility estimators: Some new theoretical, simulation, and empirical results 

      Andreou, Elena; Ghysels, Eric (2002)
      We propose extensions of the continuous record asymptotic analysis for rolling sample variance estimators developed for estimating the quadratic variation of asset returns, referred to as integrated or realized volatility. ...
    • Article  

      Some recent progress in count time series 

      Fokianos, Konstantinos (2011)
      We reviewsome regression models for the analysis of count time series. These models have been the focus of several investigations over the last years, but only recently simple conditions for stationarity and ergodicity ...