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...

In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the bivariate framework and discuss the simple, elliptical and Archimedean classes of copulae. Since the copulae model the dependency structure between random variables, next we explain the...

We consider the problem of estimating the conditional quantile of a time series fYtg at time t given covariates Xt, where Xt can ei- ther exogenous variables or lagged variables of Yt . The conditional quantile is estimated by inverting a kernel estimate of the conditional distribution function,...

Over the past few years, we have seen an increased need for analyzing the dynamically changing behaviors of economic and financial time series. These needs have led to significant demand for methods that denoise non-stationary time series across time and for specific investment horizons (scales)...

Outlier detection refers to the identification of rare items that are deviant from the general data distribution. Existing approaches suffer from high computational complexity, low predictive capability, and limited interpretability. As a remedy, we present a novel outlier detection algorithm...

The fuzzy transform (F-transform), introduced by I. Perfilieva, is a powerful tool for the construction of fuzzy approximation models; it is based on generalized fuzzy partitions and it is obtained by minimizing a quadratic (L₂-norm) functional. In this paper we describe an analogous...

Atheoretical regression trees (ART) are applied to detect changes in the mean of a stationary long memory time series when location and number are unknown. It is shown that the BIC, which is almost always used as a pruning method, does not operate well in the long memory framework. A new method...

This paper revisits the fractional co-integrating relationship between ex-ante implied volatility and ex-post realized volatility. Previous studies on stock index options have found biases and inefficiencies in implied volatility as a forecast of future volatility. It is argued that the concept...

This paper considers estimation and inference for varying-coefficient models with nonstationary regressors. We propose a nonparametric estimation method using penalized splines, which achieves the same optimal convergence rate as kernel-based methods, but enjoys computation advantages. Utilizing...