It is an undisputed fact that weather risk increases over time due to climate change. However, qualification of this … statement with regard to the type of weather risk and geographical location is needed. We investigate the application of novel … statistical tools for assessing changes in weather risk over time. We apply local t-test, change point tests and Mann-Kendall test …

are offered and applications to stock market and weather analysis are presented. -- Conditional Quantiles ;Semiparametric … and Nonparametric Methods ; Asymmetric Laplace Distribution ; Exponential Risk Bounds ; Adaptive Bandwidth Selection …

temperature models to investigate the temperature risk drivers. -- Expectile Regression ; Consistency Rate ; Simultaneous …

pricing with both risk free asset and risky security, we propose a class of semiparametric regressions for a combination of a …

Pricing kernels implicit in option prices play a key role in assessing the risk aversion over equity returns. We deal … with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk … testing parametric specifications of pricing kernels and has a direct extension to estimating risk aversion patterns. The …

. Based on these active risk factors, an adjustment for intertemporal dependency is made. The authors extend TEDAS methodology … to three gestalts differing in allocation weights’ determination: a Cornish-Fisher Value-at-Risk minimization, Markowitz …

accurate fitting procedure of localised temperature risk process by achieving excellent normal risk factors. -- Weather … order to apply pricing tools of financial mathematics, one needs to isolate a Gaussian risk factor. A conventional model for … Gaussian variable appears. Earlier work investigated this temperature risk in dfferent locations and showed that neither …