Financial Stock Market Modeling and the COVID-19 crisis: Has COVID-19 structurally changed the dynamics of the stock market?

The COVID-19 crisis heavily affected financial stock markets. In March 2020 stock prices dropped immensely and markets became extremely volatile. In this report we model three European stock markets before and during the COVID-19 crisis to determine whether the dynamics of financial markets changed structurally compared to previous periods....

Market risk calculations in stock- and bond prices: a garch-copula approach

The financial crisis of $2008$-$2009$ has led to more strict regulatory supervisory on banks and insurance companies, focusing on better (market) risk models. The linear correlation models did not foresee the extreme losses in asset values, because they were not able to forecast high volatile markets in which the dependence between financial...

Volatility in Electrical Load Forecasting for Long-term Horizon: An ARIMA-GARCH Approach

Electrical load forecasting in long-term horizon of power systems plays an important role for system planning and development. Load forecast in long-term horizon is represented as time-series. Thus, it is important to check the effect of volatility in the forecasted load time-series. In short, volatility in long-term horizon affects four main...

Valuation of transmission capacity rights; an option pricing approach with volatility estimation using Garch models for the France Spain case

Transnational transmission presents a possible source of income for power producers and a way to decrease costs for consumers. The difference in neighboring countries' market prices encourages traders to profit from it by selling cheaper electricity in the market that has price it higher. Since the parties that own the transmission (TSOs) lines...

Modelling and Forecasting in the Dry Bulk Shipping Market

This dissertation proposes strategies not only for modelling price behavior in the dry bulk market, but also for modelling relationships between economic and technical variables of dry bulk ships, by using modern time series approaches, Monte Carlo simulation and other economic techniques. The time series modelling techniques, described...

Wind Speed Modeling