Electricity industry is important for our society and the nation's economic strength, and this dissertation includes two important topics in the industry: electricity market auctioning, and short-term load forecasting. In the first part of this dissertation, an optimization algorithm to solve...

This dissertation examines how households should optimally allocate their portfolio choices between risky stocks and risk-free bonds over their lifetime. Traditional lifecycle models in previous work with normal-distributed stock returns suggest that the allocation toward stocks should start...

In den vergangenen Jahren ist die Untersuchung des Risikomanagements vom Baselkomitee angeregt, um die Kredit- und Bankwesen regelmäßig zu aufsichten. Für viele multivariate Risikomanagementmethoden gibt es jedoch Beschränkungen von: 1) verlässt sich die Kovarianzschätzung auf eine...

In this thesis we propose a risk management methodology to high-dimensional financial portfolios. Instead of estimating the joint density of the portfolios in a high-dimensional space, we are encouraged by using the independent component analysis (ICA) to decompose the dependent risk factors to...

Air quality is an important amenity that affects the labor supply to a local economy while regulations aiming at improving it can be costly and consequently reduce the local labor demand. This article studies how air quality and its regulation respectively and jointly affect the local economy...

This paper examines the impact of environmental regulations on the local labor markets by exploiting China's first air pollution regulation as a natural experiment. The identification strategy uses a new instrumental variable proposed based on engineering considerations related to polluting...

Air quality is an important amenity that affects the labor supply to a local economy while regulations aiming at improving it can be costly and consequently reduce the local labor demand. This article studies how air quality and its regulation respectively and jointly affect the local economy...

Implied volatility (IV) forecasting is inherently challenging due to its high dimensionality across various moneyness and maturity, and nonlinearity in both spatial and temporal aspects. We utilize implied volatility surfaces (IVS) to represent comprehensive spatial dependence and model the...