This study proposes a novel framework for the joint modelling of commodity forward curves. Its key contribution is twofold. First, dynamic correlation models are applied in this context as part of the modelling scheme. Second, we introduce a family of dynamic conditional correlation models based...

In this paper we introduce the dynamic semiparametric factor model (DSFM) for electricity forward curves. The biggest advantage of our approach is that it not only leads to smooth, seasonal forward curves extracted from exchange traded futures and forward electricity contracts, but also to a...

A central issue in climate policy is the question whether long-term targets for green- house gas emissions should be adopted. This paper analyzes strategic effects related to the timing of such commitments. Using a two-country model, we identify a redistributive effect that undermines long-term...

The quality of newly constructed single-family houses is usually homogeneous in and heterogeneous between neighborhoods. Such quality-clustering will be caused by the variation of natural amenities throughout a suburban area. Clustering will be enforced if the quality of neighboring buildings...

The widening of the working hour distribution complicates the coordination of social leisure. This paper examines the short- and long-run impact of unusual working schedules on social life using German Time Use Data for 2001/02. I find evidence that younger workers with higher than median...

International trade has been playing an extremely significant role in China over the last 20 years. This paper is aimed at investigating and understanding the relationship between China’smacro-economy and oil price fromthis newperspective. We find strong evidence to suggest that the increase...

We measure willingness to pay for privacy in a field experiment. Participants were given the choice to buy a maximum of one DVD from one of two online stores. One store consistently required more sensitive personal data than the other, but otherwise the stores were identical. In one treatment,...

To meet the increasing global demand for renewable energy such as wind energy, more and more new wind parks are installed worldwide. Finding a suitable location, however, requires a detailed and often costly analysis of the local wind conditions. Plain average wind speed maps cannot provide a...

The paper proposes a data driven adaptive model selection strategy. The selection crite- rion measures economic ex–ante forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither exposed to selection bias nor to the risk of...

Values of tranche spreads of collateralized debt obligations (CDOs) are driven by the joint default performance of the assets in the collateral pool. The dependence between the names in the portfolio mainly depends on current economic conditions. Therefore, a correlation implied from tranches...