In this paper, we apply a spread-based real options approach to analyze the decision-making problem of an investor who has the choice between an irreversible investment in a condensing power plant without heat utilization and a plant with combined heat-and-power (CHP) generation. Our...

This paper presents a flexible new family of copula-based multivariate models designed for handling large numbers of variables (1) as random vectors in the static case or (2) as vector stochastic processes in the dynamic case. The family includes models with upper and lower tail dependence....

We present some general results pertaining to Most Entropic Copulas (MECs), and describe the connection between MECs and a special type of Markov random field model. We also describe a fundamental, new, MEC, the Spearman Copula, which is, in some sense, the simplest nontrivial MEC, and present...

We present new, tractable methods to impute missing values based on conditional probability density functions that we estimate via copula and mixture models. Our methods exploit known analytical results concerning conditional distributions for the Arellano-Valle and Bolfarine's generalized...

We consider the problem of estimating the marginals in case there is knowledge on the copula. If the copula is smooth, it is known that it is possible to improve on the empirical distribution functions: optimal estimators still have rate of convergence n-1/2, but a smaller asymptotic variance....

We propose a new method to test conditional independence of two real random variables $Y$ and $Z$ conditionally on an arbitrary third random variable $X$. The partial copula is introduced, defined as the joint distribution of $U=F_{Y|X}(Y|X)$ and $V=F_{Z|X}(Z|X)$. We call this transformation of...

We propose and backtest a multivariate Value-at-Risk model for financial returns based on Tukey's g-and-h distribution. This distributional assumption is especially useful if (conditional) asymmetries as well as heavy tails have to be considered and fast random sampling is of importance. To...

We introduce a new copula which simultaneously allows fully-general correlation structures in the bulk of a multivariate distribution and an arbitrarily high degree of dependence in the left tails. This is ideally suited for modeling financial assets which may display moderate correlation in...

As the effect of increasing speed of the information spreading and ease in the capital moving, interdependencies between markets and market participants, both within and across national boundaries, have strengthened during last few decades. Closer linkages between international markets can...