Blar i Norges Banks vitenarkiv på emneord "GARCH models"
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A Composite Indicator of Systemic Stress (CISS) for Norway – a Reference Indicator for the Reduction of the Countercyclical Capital Buffer
(Staff Memo;4/2015, Working paper, 2015)This paper constructs a Composite Indicator of Systemic Stress (CISS) for Norway using a portfolio-theoretic framework as in Holló, Kremer and Lo Duca (2012) to facilitate real-time monitoring of the short-term development ... -
The Power of Weather. Some Empirical Evidence on Predicting Day-Ahead Power Prices Through Weather Forecasts
(Working Papers;8/2008, Working paper, 2008)This paper examines the predictive power of weather for electricity prices in day-ahead markets in real time. We find that next-day weather forecasts improve the forecast accuracy of day-ahead electricity prices substantially, ...