This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient parametric models, such as AR or GARCH, whose coefficients...

In January 2005 the EU-wide CO2 emissions trading system (EU-ETS) has formally entered into operation.Within the new trading system, the right to emit a particular amount of CO2 becomes a tradable commodity - called EU Allowances (EUAs) - and affected companies, traders and investors will face...

Many of the concepts in theoretical and empirical finance developed over thepast decades - including the classical portfolio theory, the Black-Scholes-Mertonoption pricing model and the RiskMetrics variance-covariance approach toValue at Risk (VaR) - rest upon the assumption that asset returns...