-to-work journeys between municipalities in Denmark. Special attention is given to a proper estimation method and the form of the …

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow …

reduces the short-run likelihood of institutional change toward democracy. Output contractions due to adverse weather shocks …

Systemic weather risk is a major obstacle for the formation of private (non- subsidized) crop insurance. This paper … dependencies between multivariate random variables. The estimation procedure is applied to weather data in Germany. Our results … explores the possibility of spatial diversification of insurance by estimating the joint occurrence of unfavorable weather …

. Motivated by the question of how weather derivatives should be priced to agricultural firms, this paper describes a risk …Since the mid-nineties, agricultural economists discuss the suitability of "weather derivatives" as hedging instruments … linked to weather indices (e.g. accumulated rainfall or temperature over a certain period) that are measured objectively at a …

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 …

can undertake an active portfolio management strategy by investing in both risk-free and risky assets. Using a two …

for improving our understanding of the risk of hedge funds. At the same time, research has sprung up that applies standard … performance and risk assessment. After constructing Bayesian estimators for alpha-stable distributions in the context of an ARMA …-GARCH time series model with stable innovations, we compare our risk evaluation and prediction results to the predictions of …