This paper considers how well the approach of combining forecasts extends to the context of electricity prices. With the increasing popularity of regime switching and time-varying parameter models for predicting power prices, the multi model and evolutionary considerations that usually support the combining of simpler time series methods may be less applicable when the individual models incorporate these features. We address this question with a backtesting analysis on British day-ahead prices. Furthermore, given the volatility of power prices and concerns about accurate forecasting under extreme price excursions, we evaluate the results using various error metrics including expected shortfall. The comparisons are furthermore carefully simulated to consider model selection uncertainty in order to realistically test the value of combining as an ex ante policy. Overall, our results support combining for both accurate operational planning and risk management.

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Performance measurement is one of the most studied subjects in financial literature. Since the introduction of the Sharpe ratio in 1966, a large variety of newmeasures has appeared constantly in scientific journals as well as in practitioners’ publications. The most complete and significant studies of performance measures, so far, have been written by Aftalion and Poncet, Le Sourd, Bacon, and Cogneau and Hubner. A review of the most recent literature led us to collect several dozen measures that we classify into four families. We first present the class of relative measures, starting with the Sharpe ratio. Secondly, we analyse absolute measures, beginning with the most famous one - the Jensen alpha. Thirdly, we study general measures based on specific features of the return distribution, where the pioneering contributions are those of Bernardo and Ledoit, and Keating and Shadwick. Finally, the fourth set concerns a few measures that explicitly take into account the investor’s utility functions

In this paper marginal and conditional skewness of financial return time series is studied, by means of testing procedures and suitable models, for nine major international stock indexes. To analyze time-varying conditional skewness a new GARCH-type model with dynamic skewness and kurtosis is proposed. Results indicate that there are no evidences of marginal asymmetry in the nine series, but there are clear findings of significant time-varying conditional skewness. The economic significance of conditional skewness is analyzed and compared by considering Value-at-Risk, Expected Shortfall and Market Risk Capital Requirements set by the Basel Accord.