Weather influences our daily lives and choices and has an enormous impact on cooperate revenues and earnings. Weather derivatives differ from most derivatives in that the underlying weather cannot be traded and their market is relatively illiquid. The weather derivative market is therefore...

With increasing wind power penetration more and more volatile and weather dependent energy is fed into the German electricity system. To manage the risk of windless days and transfer revenue risk from wind turbine owners to investors wind power derivatives were introduced. These insurance-like...

We investigate the concept of connectedness, which is important for risk measurement and management inGerman energy market. Understanding and learning from these mechanisms are essential to avoid future systemic disasters. To deal with large portfolio selection, we propose regularization...

On the temperature derivative market, modeling temperature volatility is an important issue for pricing and hedging. In order to apply pricing tools of financial mathematics, one needs to isolate a Gaussian risk factor. A conventional model for temperature dynamics is a stochastic model with...

In this paper we investigate price and volatility risk originating in linkages between energy and agricultural commodity prices in Germany and study their dynamics over time. We propose an econometric approach to quantify the volatility and correlation risk structure, which has a large impact...

Electricity load forecasts are an integral part of many decision-making processes in the electricity market. However, most literature on electricity load forecasting concentrates on deterministic forecasts, neglecting possibly important information about uncertainty. A more complete picture of...

To meet the increasing global demand for renewable energy such as wind energy, more and more new wind parks are installed worldwide. Finding a suitable location, however, requires a detailed and often costly analysis of the local wind conditions. Plain average wind speed maps cannot provide a...

Recently the topic of global warming has become very popular. The literature has concentrated its attention on the evidence of such effect, either by detecting regime shifts or change points in time series. The majority of these methods are designed to find shifts in mean, but only few can do...