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 …

In this article we present a theoretical review of the existing literature on Value at Risk (VaR)
specifically focussing on the development of new approaches for its estimation. We effect a …

Our study uses the GARCH-EVT-copula model to develop out-of-sample forecasts for
diverse asset classes, including a green asset. To construct optimal portfolios, we apply four …

We bring rigor to the vibrant activity of detecting power laws in empirical degree distributions
in real-world networks. We first provide a rigorous definition of power-law distributions …

This empirical paper compares the accuracy of 12 time series methods for short-term (day-
ahead) spot price forecasting in auction-type electricity markets. The methods considered …

The interest in forecasting the Value at Risk (VaR) has been growing over the last two
decades, due to the practical relevance of this risk measure for financial and insurance …

Extreme value theory is concerned with the study of the asymptotic distribution of extreme
events, that is to say events which are rare in frequency and huge in magnitude with respect …

Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to
model asset price volatility over time. This book introduces both the theory and applications …

This study uses GARCH-EVT-copula and ARMA-GARCH-EVT-copula models to perform out-
of-sample forecasts and simulate one-day-ahead returns for ten stock indexes. We construct …

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 …