Katja Ignatieva

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We examine the dependence structure of electricity spot prices across regional markets in the Australian National Electricity Market (NEM). Our analysis is based on a GARCH approach to model the marginal price series in the considered regions in combination with copulae to capture the dependence structure between the different markets. We apply different(More)
This paper analyzes exponentially affine and non-affine stochastic volatility models with jumps in returns and volatility. Markov Chain Monte Carlo (MCMC) technique is applied within a Bayesian inference framework to estimate model parameters and latent variables using daily returns from the S&P 500 stock index. There are two approaches to overcome the(More)
This paper investigates several crucial issues that arise when modeling equity returns with stochastic variance. (i) Does the model need to include jumps even when using a nonaffine variance specification? We find that jump models clearly outperform pure stochastic volatility models. (ii) How do affine variance specifications perform when compared to(More)
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