Stochastic disaggregation model, based on coupling of the modified version of the Bartlett-Lewis Rectangular Pulse stochastic rainfall model and proportional adjusting procedure, is shown to disaggregate daily observed precipitation to hourly scale. Furthermore synthetic hourly time series are...

The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to calculate optimal portfolio weights and optimal hedge ratios, and...