In recent years, large amounts of financial data have become available for analysis. We
propose exploring returns from 21 European stock markets by model-based clustering of …

This paper presents a real-options approach to assess the value of retrofitting carbon
capture and storage technology to an existing natural gas-fired base-load power plant …

Due to the inherent uncertainty of wind conditions as well as the price unpredictability in the
competitive electricity market, wind power producers are exposed to the risk of concurrent …

Firms that deal with weather-sensitive products are often exposed to weather risk. How a
weather rebate contract can be implemented to improve the performance of a supplier …

In this paper, we consider a portfolio selection problem under temperature uncertainty.
Weather derivatives based on different temperature indices are used to protect against …

In this paper, we test the use of Markov-switching (MS) GARCH (MSGARCH) models for
trading either oil or natural gas futures. Using weekly data from 7 January 1994 to 31 May …

In this work, the use of Markov-switching GARCH (MS-GARCH) models is tested in an active
trading algorithm for corn and soybean future markets. By assuming that a given investor …

Abstract Accepted by: Konstantinos Nikolopoulos This paper develops a new stochastic
volatility model for the average daily temperature. It is a natural extension of a Gaussian …

In this article, we focus on death-linked contingent claims (GMDBs) paying a random
financial return at a random time of death in the general case where financial returns follow …

We employ a\varDelta CoVaR Δ C o V a R model in order to measure the potential impact of
temperature fluctuations on systemic risk, considering all companies from the STOXX …