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- in englischer Sprache -

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Financial asset prices differ not only in their level and trajectory, but also in their magnitude and type of variability within trading periods. As financial agents require quantifying the price variability of a financial asset over a certain period of time in many risk- and valuation-related applications, it is crucial to reflect appropriate concepts which provide an accurate picture of the variability exposure. The scientific elaboration of an adequate concept in light of the practical necessities demands the consideration of all issues related to the quantification of price variability. These include available data amount, concurrence of the assumptions about the data generating process with the empirical actuality, time horizon and purpose of the variation measure (modeling, forecasting or validation). Having the scope of scientific and practical attributes in mind, we review existing univariate variance concepts, which are based on the quadratic variation of continuous-time price processes. Furthermore, we discuss their empirical convenience and apply the concept to a specific class of financial assets. These are electricity forward contracts traded on the Nord Pool Energy Exchange.

In particular, the object of research in this thesis is:

In this thesis we find that existing methods to decompose realized variance in its continuous and jump component are quite sensitive to flat…

Schlagworte

Realized Variance, Price Jumps, High Frequency Data, Infrequent Tracking, Robust Estimation, Electricity Forward Contract, Econometrics, Statistics, Tracking Activity, Urgent Market Message, Nord Pool Energy Exchange, Energy Finance, Betriebswirtschaftslehre

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