Due to dependency of energy demand on temperature, weather derivatives enable the effective hedging of temperature related fluctuations. However, temperature varies in space and time and therefore the contingent weather derivatives also vary. The spatial derivative price distribution involves a...

In practice, multivariate dependencies between extreme risks are often only assessed in a pairwise way. We propose a test to detect when tail dependence is truly high{dimensional and bivariate simplications would produce misleading results. This occurs when a signicant portion of the...

We propose a new nonlinear classification method based on a Bayesian "sum-of-trees" model, the Bayesian Additive Classification Tree (BACT), which extends the Bayesian Additive Regression Tree (BART) method into the classi- fication context. Like BART, the BACT is a Bayesian nonparametric...

Independent component analysis (ICA) is a modern factor analysis tool de- veloped in the last two decades. Given p-dimensional data, we search for that linear combination of data which creates (almost) independent components. Here copulae are used to model the p-dimensional data and then...

We consider a vertically related market characterized by down- stream imperfect competition and by the monopolistic provision of an essential facility-based input, whose price is set by a social-welfare maximizing regulator. Our model shows that the regulatory knowl- edge about the cost for...

Within a standard three-tier regulatory model, a benevolent prin- cipal delegates to a regulatory agency two tasks: the supervision of the …rms (two-type) costs and the arrangement of a pricing mecha- nism. The agency may have an incentive to manipulate information to the principal to share the...

We examine the issue of whether two monopolists which produce substitutable goods should be regulated by one (centralization) or two (decentralization) regulatory authorities, when the regulator(s) can be partially captured by industry. Under full information, two decentral- ized agencies - each...

This paper addresses the issue of how to design the institutional structure of an industry which provides two differentiated products. One good is supplied by a regulated monopoly and the other is produced in a competitive (unregulated) segment. Two possible institutional patterns are compared....

Strategic delegation to an independent regulator with a pure consumer standard improves dynamic regulation by mitigating ratchet effects associated with short term contracting. A consumer standard alleviates the regulator’s myopic temptation to raise output after learning the firm is...

This paper investigates the short- and medium-term effects of the deregulation of shopopening hours legislation on retail employment in Germany. In 2006, the legislative competence was shifted from the federal to the state level, leading to a gradual deregulation of shop opening restrictions in...