Publications des institutions partenaires
Estimating the number of garment factories in Bangladesh
Institution partenaire
English / 01/01/2015
Stress-testing for portfolios of commodities : 5th International Disaster and Risk Conference IDRC 2014, Davos
Institution partenaire
English / 24/08/2014
A spot-forward model for electricity prices
We propose a novel regime-switching approach for modeling electricity spot prices that takes into account the relation between spot and forward prices. Additionally the model is able to reproduce spikes and negative prices. Market prices are based on an observed forward curve. We distinguish between a base regime and an upper as well as a lower spike regime. The model parameters are…
Institution partenaire
English / 15/07/2014
The impact of renewable energies on EEX day-ahead electricity prices
We analyze the impact of renewable energies, wind and photovoltaic, on the formation of day-ahead electricity prices at EEX. We give an overview of the policy decisions concerning the promotion of renewable energy sources in Germany, and discuss their consequences on day-ahead prices. An analysis of electricity spot prices reveals that the introduction of renewable energies enhances…
Institution partenaire
English / 30/05/2014
Investors Behavior under Changing Market Volatility
This paper analyzes the reaction of the S&P 500 returns to changes in implied volatility given by the VIX index, using a daily data sample from 1990 to 2012. We found that in normal regimes increases (declines) in the expected market volatility result in lower (higher) subsequent stock market returns. Thus, investors enter into selling positions upon a perception of increased…
Institution partenaire
English / 04/05/2014
Kostensenkungspotenzial beim Handel mit Strom aus erneuerbaren Energien durch mathematische Optimierungsmodelle
Institution partenaire
Deutsch / 31/01/2014
Influence functions for penalized M-estimators
Institution partenaire
English / 01/01/2014
Robust and consistent variable selection for generalized linear and additive models
Institution partenaire
English / 01/01/2014
TError: towards a better quantification of the uncertainty propagated during the characterization of tephra deposits
Institution partenaire
English / 01/01/2014
Semiparametrically Efficient R-Estimation for Dynamic Location-Scale Models
We define rank-based estimators (R-estimators) for semiparametric time series models in whichthe conditional location and scale depend on a Euclidean parameter, while the innovation density isan infinite-dimensional nuisance. Applications include linear and nonlinear models, featuring eitherhomo- or heteroskedasticity (e.g. AR-ARCH and discretely observed diffusions with jumps). We…
Institution partenaire
English / 01/01/2014
Spot-forward simulation of electricity prices with regime shifts
Institution partenaire
English / 12/12/2013
Price dynamics in gas markets
Modeling natural gas futures prices is essential for valuation purposes as well as for hedging strategies in energy risk management. We present a general multi-factor affine diffusion model which incorporates the joint stylized features of both spot and futures prices. The model is brought into state space form on which Kalman filter techniques are applied to evaluate the maximum…
Institution partenaire
English / 10/10/2013
Price dynamics in electricity spot markets
We propose a novel regime-switching approach for the simulation of electricity spot prices that is inspired by the class of fundamental models and takes into account the relation between spot and forward prices. Additionally the model is able to reproduce spikes and negative prices. Market prices are derived given an observed forward curve. We distinguish between a base regime and an…
Institution partenaire
English / 08/07/2013
Medium-term planning for thermal electricity production
Institution partenaire
English / 06/07/2013
Adjustment Policy of Deposit Rates in the Case of Swiss Non-maturing Savings Accounts
Retail banks usually apply simple linear regression models for describing the dynamics of the deposit rates of non-maturing accounts (NMA) like savings deposits. Thus, typical patterns like asymmetry or rigidity that banks follow when adjusting their deposit rates are ignored. This is insofar surprising, as the asymmetric deposit rate adjustment affects the pricing of embedded…
Institution partenaire
English / 04/04/2013
Robustness in sample selection models
The problem of non-random sample selectivity often occurs in practice in many different fields. In presence of sample selection, the data appears in the sample according to some selection rule. In these cases, the standard tools designed for complete samples, e.g. ordinary least squares, produce biased results, and hence, methods correcting this bias are needed. In his seminal work,…
Institution partenaire
English / 01/01/2013
Two essays in statistics: a prediction divergence criterion for model selection & wavelet variance based estimation of latent time series models
This thesis is divided in two parts. First, it presents a new criterion for model selection which is shown to be particularly well suited in "sparse" settings which we believe to be common in many research fields. Our selection procedure is developed for linear regression models, smoothing splines, autoregressive and mixed linear models. These developments are then applied…
Institution partenaire
English / 01/01/2013
Robust VIF Regression with Application to Variable Selection in Large Datasets
The sophisticated and automated means of data collection used by an increasing number of institutions and companies leads to extremely large datasets. Subset selection in regression is essential when a huge number of covariates can potentially explain a response variable of interest. The recent statistical literature has seen an emergence of new selection methods that provide some…
Institution partenaire
English / 01/01/2013
Consumer Behavior Analysis for Luxury Goods - A Technical Note for Empirical Studies
Institution partenaire
English / 01/01/2013
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