Symposium on Risks in Integrated Energy Systems Dublin, Ireland – 6 March 2018 A nice opportunity arose in Dublin, where The Economic and Social Research Institute (ESRI) organized a symposium. This half-day seminar focused on the topic of “Risks in Integrated Energy Systems”. ESRI invited Cyriel de Jong to share his views on hedging in Energy… Read more »
Journal of Risk: Non-parametric Value-at-Risk forecasts
This paper proposes a new model for computing Value-at-Risk forecasts. It incorporates information about the market’s perceived uncertainty about the future from volatility indices.