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Aktuelle Publikationen (2011-2016)

  • Ziel, F., & Weron, R. (2016). Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models (No. HSC/16/08). Hugo Steinhaus Center, Wroclaw University of Technology.
  • Ziel, F., & Steinert, R. (2016). Electricity Price Forecasting using Sale and Purchase Curves: The X-Model. Energy Economics, 59, 435-454.
  • Ziel/Croonenbroeck/Ambach (2016): Forecasting wind power - Modeling periodic and non-linear effects under conditional heteroscedasticity. Applied Energy, 177, 285-297.
  • Ziel/Liu (2016): Lasso estimation for GEFCom2014 probabilistic electric load forecasting. International Journal of Forecasting, 23, 1029-1037.
  • Ziel (2016): Forecasting Electricity Spot Prices using Lasso: On Capturing the Autoregressive Intraday Structure. IEEE Transactions on Power Systems, 31.6, 4977-4987.
  • Ziel (2015): Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes. Computational Statistics and Data Analysis, Vol. 100, 773-793.
  • Ziel, F. (2015). Quasi-maximum Likelihood Estimation of Periodic Autoregressive, Conditionally Heteroscedastic Time Series . Springer International Publishing, pp. 207-214.
  • Ziel/Steinert/Husmann (2015): Forecasting Day Ahead Electricity Spot Prices: The Impact of the EXAA to other European Elecricity Markets. Energy Economics, Vol. 51, 430-444. DOI:10.1016/j.eneco.2015.08.0005.
  • Lubnau/Todorova (2015): Trading on Mean-Reversion in Energy Futures Markets. Energy Economics, Vol. 51, 312-319. DOI:10.1016/j.eneco.2015.06.018.
  • Ziel/Steinert/Husmann (2015): Efficient Modeling and Forecasting of the Electricity Spot Prices. Energy Economics, Vol. 47, 98-111. DOI: 10.1016/j.eneco.2014.10.012.
  • Todorova/Soucek (2014): Volatility Transmission in Energy Futures Markets. The Journal of Energy Markets, Vol. 7, Issue 3, 51-70.
  • Todorova/Soucek (2014): Overnight information flow and realized volatility forecasting. Finance Research Letters, Vol. 11, Issue 4, 420-428. DOI: 10.1016/j.frl.2014.07.001 .
  • Lubnau/Todorova (2014): The calm after the storm: Implied volatility and future stock index returns. European Journal of Finance, Vol. 21, Issue 15, 1282-1296. DOI: 10.1080/1351847X.2014.935872 .
  • Lubnau/Todorova (2014): Technical Trading Revisited: Evidence from the Asian Stock Markets. Corporate Ownership and Control, Vol. 11, Issue 2, 511-532.
  • Soucek/Todorova (2014): Realized Volatility Transmission: The Role of Jumps and Leverage Effects. Economics Letters, Vol. 122 (2),111-115.
  • Todorova/Worthington/Soucek (2014): Realized Volatility Spillovers in the Non-Ferrous Metal Futures Market. Resources Policy, (39), 21-31.
  • Soucek/Todorova (2014): The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range. Economic Modelling, (36), 332-340.
  • Soucek/Todorova (2013): Realized Volatility Transmission between Crude Oil and Equity Futures Markets: A Multivariate HAR Approach. Energy Economics (40), 586-597. Sirca Philip Brown Prize for Best Published Paper 2013
  • Waszczuk (2013): Do Local or Global Risk Factors Explain the Size, Value and Momentum Trading Payoffs on the Warsaw Stock Exchange? Applied Financial Economics, Vol. 23, Issue 19, 1497-1508.
  • Soucek (2013): Crude oil, equity and gold futures open interest co-movements. Energy Economics (40), 306-315.
  • Husmann/Todorova (2013): Generalized Option Betas. Journal of Mathematical Finance, Vol. 3 No. 3, 2013, 347-356.
  • Husmann/Perederiy (2013): Forecasting Default with Aggregated Financial Ratios. Journal of Money, Banking and Finance (1), 53-68.
  • Waszczuk (2013): A risk-based explanation of return patterns - evidence from the Polish stock market. Emerging Markets Review, Vol. 15, 2013, 186-210.
  • Kruschwitz, Lutz; Husmann, Sven (2012): Finanzierung und Investition, 7. Auflage, München: Oldenbourg
  • Soucek/Todorova (2012): Economic Significance of Oil Price Changes on Russian and Chinese Stock Markets. Applied Financial Economics (23), 561-571.
  • Todorova/Husmann (2012): A comparative study of range-based stock return volatility estimators for the German market. The Journal of Futures Markets (32), 560-586.
  • Soucek (2012): Oil based trading and european industry sector stocks. International Business & Economics Research Journal (11), 205-216.
  • Husmann/Lubnau/Todorova (2012): Market Expectations and Option Prices: Evidence for the DAX 30. International Journal of Economic Perspectives (6),  Issue 2, June 2012.
  • Todorova (2012): Volatility estimators based on daily price ranges vs. the realized range. Applied Financial Economics (22), 215-229.
  • Lubnau/Todorova (2012): Technical trading with open interest: evidence from the German market. Applied Financial Economics (22), 791-809.
  • Husmann/Schmidt (2011): The discount rate of IAS 36 – a reply to Kvaal. Accounting in Europe (8), 125-126.
  • Soucek (2011): Oil Price Based Trading. Proceedings of the 8th International Conference on Applied Financial Economics, 2011, National and Kapodistrian University of Athens, Greece,  Volume A, pp. 241 – 247.
  • Husmann/Soucek/Waszczuk (2011): Leverage Adjustment and Cost of Capital. Proceedings of the 8th International Conference on Applied Financial Economics, 2011, National and Kapodistrian University of Athens, Greece,  Volume A, pp. 321 - 328.
  • Husmann, Sven und Todorova, Neda (2011): CAPM option pricing. Finance Research Letters, 8, 213-219.
  • Husmann, Sven und Schmidt, Martin (2011): The discount rate of IAS 36” – a reply toKvaal (AiE 2010, 87 ff.). In: Accounting in Europe 8 (2011), S. 125-126.