This paper proposes a novel method for assessing the predictability of energy market time series, by predicting the entropy of the series. According to conventional entropy-based analysis where the entropy is always ex-post estimated), high entropy values characterize unpredictable series, while...

Credit risk, associated to borrowers defaulting on their debts, is an ever growing source of concern for lenders. The presence of correlation among defaults may be described by the t-copula model. However, the typically large number of variables involved calls for a simulation approach. A...