Recent contributions to the financial econometrics literature exploit high-frequency (HF) data to improve models for daily asset returns. This paper propose...

A dynamic global hedging procedure making use of futures contracts is developed for a retailer of the electricity market facing price, load and basis risk. S...

The sophisticated and automated means of data collection used by an increasing number of institutions and companies leads to extremely large datasets. Sub...

Large datasets upon which classical statistical analysis cannot be performed because of the curse of dimensionality are more and more common in many research...

<p> The complementarity of two renewable energy sources, namely hydro and wind, is investigated. We consider the diversification effect of wind power to re...

We investigate the common practice of estimating the dependence structure between CDS prices on multi-name credit instruments by the dependence structure of ...

Estimation of the Pareto tail index from extreme order statistics is an important problem in many settings such as income distributions (for inequality meas...

The multivariate modelling of default risk is a crucial aspect of the pricing of credit derivative products referencing a portfolio of underlying assets, an...