In this paper a case study is presented to propose an alternative mechanism to include the impact of climate change into the hydropower projects’ feasibility valuation. We started from an independent engineer historical energy generation simulations; therefore, applying mixing unconditional...

In this paper we estimated not-overlapped monthly historic standard deviations of the S&P 500 Index returns for the period 1950 – 2009, then using extreme value theory we defined extreme volatility events and introduced an alternative “fear scale” that is compared with the “fear index”.

In this paper an alternative non-parametric historical simulation approach, the Mixing Unconditional Disturbances model with constant volatility, where price paths are generated by reshuffling disturbances for S&P 500 Index returns over the period 1950 - 1998, is used to estimate a Generalized...

In this paper we estimated IBM beta from 2000 to 2013, then using differential equation mathematical formula we split up the annual beta’s change attributed to the volatility market effect, the stock volatility effect, the correlation effect and the jointly effect of these variables.