Publications des institutions partenaires
The impact of CSR reporting quality on analyst forecast accuracy
We investigate the impact of the quality of corporate social responsibility (CSR) reports on sell-side analyst forecast accuracy. The sample comprises 506 large companies that were selected according to the CSR-Sustainability Monitor, which was used to measure the quality of CSR reports issued in 2012 by the members listed in Fortune 500 US and the Global Index. Forecast error is...
Institution partenaire
English / 08/08/2017
Firm-value effects of CSR disclosure and CSR performance
We examine in this paper the effects of corporate social responsibility (CSR) disclosure and CSR performance on firm value for S&P 500 firms from 2011 to 2014. We find that CSR disclosure is positively associated with firm value and that the effect of CSR disclosure on firm value is larger than the effect of CSR performance. On average, the overall firm value increase for one...
Institution partenaire
English / 30/06/2017
Valuation of the flexibility of power-to-gas facilities
Power-to-gas (P2G) is a technology that converts electrical power to gas fuels like methane for storage in the natural gas grid. Due to the low efficiency, the production of synthetic methane is only profitable if electricity is sufficiently cheap. However, P2G facilities are flexible consumers and can benefit from short-term price fluctuations on the electricity spot market. We use...
Institution partenaire
English / 01/06/2017
Prediction of extreme price occurrences in the German day-ahead electricity market
Institution partenaire
English / 01/07/2016
Estimation and application of fully parametric multifactor quantile regression with dynamic coefficients
This paper develops and applies a novel estimation procedure for quantile regressions with time-varying coefficients based on a fully parametric, multifactor specification. The algorithm recursively filters the multifactor dynamic coefficients with a Kalman filter and parameters are estimated by maximum likelihood. The likelihood function is built on the Skewed-Laplace assumption. In...
Institution partenaire
English / 15/06/2016
A fully parametric approach for solving quantile regressions with time-varying coefficients
This paper develops and applies a novel estimation procedure for quantile regressions with time-varying coefficients based on a fully parametric, multifactor specification. The algorithm recursively filters the multifactor dynamic coefficients with a Kalman filter and parameters are estimated by maximum likelihood. The likelihood function is built on the Skewed-Laplace assumption. In...
Institution partenaire
English / 04/06/2016
Structural model for electricity forward prices
Structural models for forward electricity prices are of great relevance nowadays, given the major structural changes in the market due to the increase of renewable energy in the production mix. In this study, we aim at understanding the dynamics of the risk premium (the drift in the dynamics) and the noise (non-Gaussian, stochastic volatility) in futures prices for electricity. We...
Institution partenaire
English / 28/04/2016
Wasserkraft: Wiederherstellung der Wettbewerbsfähigkeit
Die Schweizer Wasserkraft soll für die zukünftige Energieversorgung im zentraleuropäischen Raum eine wichtige Rolle spielen. Dies kann sie aber nur, wenn sie wieder rentabel wird.
Um die im aktuellen Marktumfeld schlechte Rentabilität von Wasserkraftwerken zu verbessern, sollten einerseits die Energieversorgungsunternehmen: neue Handelsstrategien auf den Strommärkten...
Institution partenaire
Deutsch / 01/03/2016
A fully parametric approach for solving quantile\\ regressions with time-varying coefficients
Institution partenaire
English / 02/09/2015
Extreme Value Theory for Heavy-Tails in Electricity Prices
Typical characteristics of electricity day-ahead prices at EPEX are the very high volatility and a large number of extreme price changes. In this paper, we look at hourly spot prices at the German electricity market and apply extreme value theory (EVT) to investigate the tails of the price change distribution. Our results show the importance of delimiting price spikes and modeling...
Institution partenaire
English / 29/06/2015
A spot-forward model for electricity prices with regime shifts
We propose a novel regime-switching approach for the simulation of electricity spot prices that is inspired by the class of fundamental models and takes into account the relation between spot and forward prices. Additionally the model is able to reproduce spikes and negative prices. Market prices are derived given an observed forward curve. We distinguish between a base regime and an...
Institution partenaire
English / 20/02/2015
Multivariate Dynamic Copula Models: Parameter Estimation and Forecast Evaluation
This paper introduces multivariate dynamic copula models to account for the time-varying dependence structure in asset portfolios. We firstly enhance the fexibility of this structure by modeling regimes with multivariate mixture copulas. In our second approach, we derive dynamic elliptical copulas by applying the dynamic conditional correlation model (DCC) to multivariate elliptical...
Institution partenaire
English / 01/01/2015
Econometric Analysis of 15-Minute Intraday Electricity Prices
The trading activity in the German intraday electricity market has increased significantly over the last years. This is partially due to an increasing share of renewable energy, wind and photovoltaic, which requires power generators to balance out the forecasting errors in their production. We investigate the bidding behavior in the intraday market by looking at both last prices and...
Institution partenaire
English / 01/01/2015
Stress-testing for portfolios of commodities : 5th International Disaster and Risk Conference IDRC 2014, Davos
Institution partenaire
English / 24/08/2014
A spot-forward model for electricity prices
We propose a novel regime-switching approach for modeling electricity spot prices that takes into account the relation between spot and forward prices. Additionally the model is able to reproduce spikes and negative prices. Market prices are based on an observed forward curve. We distinguish between a base regime and an upper as well as a lower spike regime. The model parameters are...
Institution partenaire
English / 15/07/2014
The impact of renewable energies on EEX day-ahead electricity prices
We analyze the impact of renewable energies, wind and photovoltaic, on the formation of day-ahead electricity prices at EEX. We give an overview of the policy decisions concerning the promotion of renewable energy sources in Germany, and discuss their consequences on day-ahead prices. An analysis of electricity spot prices reveals that the introduction of renewable energies enhances...
Institution partenaire
English / 30/05/2014
Investors Behavior under Changing Market Volatility
This paper analyzes the reaction of the S&P 500 returns to changes in implied volatility given by the VIX index, using a daily data sample from 1990 to 2012. We found that in normal regimes increases (declines) in the expected market volatility result in lower (higher) subsequent stock market returns. Thus, investors enter into selling positions upon a perception of increased...
Institution partenaire
English / 04/05/2014
Kostensenkungspotenzial beim Handel mit Strom aus erneuerbaren Energien durch mathematische Optimierungsmodelle
Institution partenaire
Deutsch / 31/01/2014
Spot-forward simulation of electricity prices with regime shifts
Institution partenaire
English / 12/12/2013
Pages
Le portail de l'information économique suisse
© 2016 Infonet Economy