The commonality in idiosyncratic volatility cannot be fully explained by time-varying volatility; correlated idiosyncratic volatility shocks are an important contributing factor. We empirically ...

Applying well-specified quantitative models in energy forecasting and hedging continues to be challenging. Even well-established approaches require careful adaptations. In this issue of The Journal of ...

There are several approaches to dealing with heteroscedasticity. If the error variance at different times is known, weighted regression is a good method. If, as is ...