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Szymon Borak

Personal Details

First Name:Szymon
Middle Name:
Last Name:Borak
Suffix:
RePEc Short-ID:pbo287
[This author has chosen not to make the email address public]
Terminal Degree:2008 Institut für Statistik und Ökonometrie (ISÖ); Wirtschaftswissenschaftliche Fakultät; Humboldt-Universität Berlin (from RePEc Genealogy)

Affiliation

(in no particular order)

Institut für Statistik und Ökonometrie (ISÖ) (Institute for Statistics and Econometrics)
Wirtschaftswissenschaftliche Fakultät (Faculty of Economics)
Humboldt-Universität Berlin (Humboldt University Berlin)

Berlin, Germany
http://ise.wiwi.hu-berlin.de/
RePEc:edi:ishubde (more details at EDIRC)

Center for Applied Statistics and Econometrics (CASE)
Humboldt-Universität Berlin (Humboldt University Berlin)

Berlin, Germany
http://www.case.hu-berlin.de/
RePEc:edi:cahubde (more details at EDIRC)

Sonderforschungsbereich 649: Ökonomisches Risiko (Collaborative Research Center 649: Economic Risk)
Wirtschaftswissenschaftliche Fakultät (Faculty of Economics)
Humboldt-Universität Berlin (Humboldt University Berlin)

Berlin, Germany
http://sfb649.wiwi.hu-berlin.de/
RePEc:edi:sohubde (more details at EDIRC)

Research output

as
Jump to: Working papers Software

Working papers

  1. Borak, Szymon & Misiorek, Adam & Weron, Rafał, 2010. "Models for heavy-tailed asset returns," SFB 649 Discussion Papers 2010-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  2. Borak, Szymon & Weron, Rafał, 2008. "A semiparametric factor model for electricity forward curve dynamics," SFB 649 Discussion Papers 2008-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  3. Borak, Szymon & Härdle, Wolfgang Karl & Mammen, Enno & Park, Byeong U., 2007. "Time series modelling with semiparametric factor dynamics," SFB 649 Discussion Papers 2007-023, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  4. Borak, Szymon & Härdle, Wolfgang Karl & Mammen, Enno & Park, Byeong U., 2007. "Time series modelling with semiparametric factor dynamics," SFB 649 Discussion Papers 2007-023, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  5. Borak, Szymon & Härdle, Wolfgang Karl & Trück, Stefan & Weron, Rafał, 2006. "Convenience yields for CO2 emission allowance futures contracts," SFB 649 Discussion Papers 2006-076, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  6. Borak, Szymon & Härdle, Wolfgang Karl & Trück, Stefan & Weron, Rafał, 2006. "Convenience yields for CO2 emission allowance futures contracts," SFB 649 Discussion Papers 2006-076, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  7. Borak, Szymon & Fengler, Matthias R. & Härdle, Wolfgang Karl, 2005. "DSFM fitting of implied volatility surfaces," SFB 649 Discussion Papers 2005-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  8. Borak, Szymon & Härdle, Wolfgang Karl & Weron, Rafał, 2005. "Stable distributions," SFB 649 Discussion Papers 2005-008, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  9. Borak, Szymon & Härdle, Wolfgang Karl & Weron, Rafał, 2005. "Stable distributions," SFB 649 Discussion Papers 2005-008, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  10. Borak, Szymon & Detlefsen, Kai & Härdle, Wolfgang Karl, 2005. "FFT based option pricing," SFB 649 Discussion Papers 2005-011, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  11. Borak, Szymon & Detlefsen, Kai & Härdle, Wolfgang Karl, 2005. "FFT based option pricing," SFB 649 Discussion Papers 2005-011, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  12. Borak, Szymon & Fengler, Matthias R. & Härdle, Wolfgang Karl, 2005. "DSFM fitting of implied volatility surfaces," SFB 649 Discussion Papers 2005-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

Software components

  1. Szymon Borak & Rafal Weron, 2010. "STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch," Statistical Software Components M429004, Boston College Department of Economics.
  2. Szymon Borak & Rafal Weron, 2010. "STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis," Statistical Software Components M429005, Boston College Department of Economics.
  3. Szymon Borak & Rafal Weron, 2010. "STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams," Statistical Software Components M429004, Boston College Department of Economics.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Borak, Szymon & Misiorek, Adam & Weron, Rafał, 2010. "Models for heavy-tailed asset returns," SFB 649 Discussion Papers 2010-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Basteck, Christian & Daniëls, Tijmen R., 2010. "Every symmetric 3 x 3 global game of strategic complementarities is noise independent," SFB 649 Discussion Papers 2010-061, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Jentsch, Carsten & Leucht, Anne & Meyer, Marco & Beering, Carina, 2016. "Empirical characteristic functions-based estimation and distance correlation for locally stationary processes," Working Papers 16-15, University of Mannheim, Department of Economics.
    3. Magdalena Weglarz & Agnieszka Wylomanska, 2010. "Optimal bidding strategies on the power market based on the stochastic models," HSC Research Reports HSC/10/06, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    4. Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2013. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 89-121, December.
    5. Takashi Isogai, 2014. "Benchmarking of Unconditional VaR and ES Calculation Methods: A Comparative Simulation Analysis with Truncated Stable Distribution," Bank of Japan Working Paper Series 14-E-1, Bank of Japan.
    6. Adam Misiorek & Rafal Weron, 2010. "Heavy-tailed distributions in VaR calculations," HSC Research Reports HSC/10/05, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    7. Janczura, Joanna & Orzeł, Sebastian & Wyłomańska, Agnieszka, 2011. "Subordinated α-stable Ornstein–Uhlenbeck process as a tool for financial data description," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4379-4387.
    8. Wyłomańska, Agnieszka & Chechkin, Aleksei & Gajda, Janusz & Sokolov, Igor M., 2015. "Codifference as a practical tool to measure interdependence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 412-429.
    9. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2010. "Nonparametric regression with nonparametrically generated covariates," SFB 649 Discussion Papers 2010-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    10. Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010. "Models for Heavy-tailed Asset Returns," MPRA Paper 25494, University Library of Munich, Germany.
    11. Panov, Vladimir, 2010. "Estimation of the signal subspace without estimation of the inverse covariance matrix," SFB 649 Discussion Papers 2010-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    12. Wiebach, Nicole & Hildebrandt, Lutz, 2010. "Context effects as customer reaction on delisting of brands," SFB 649 Discussion Papers 2010-056, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    13. Kenneth Bruninx & Erik Delarue & William D'haeseleer, 2013. "Statistical description of the error on wind power forecasts via a Lévy α-stable distribution," RSCAS Working Papers 2013/50, European University Institute.
    14. Greg Hannsgen, 2011. "Infinite-variance, Alpha-stable Shocks in Monetary SVAR: Final Working Paper Version," Economics Working Paper Archive wp_682, Levy Economics Institute.
    15. Sabiwalsky, Ralf, 2010. "Executive compensation regulation and the dynamics of the pay-performance sensitivity," SFB 649 Discussion Papers 2010-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    16. Schulze, Franziska, 2010. "Spatial dependencies in German matching functions," SFB 649 Discussion Papers 2010-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    17. Joanna Janczura & Sebastian Orzel & Agnieszka Wylomanska, 2011. "Subordinated alpha-stable Ornstein-Uhlenbeck process as a tool for financial data description," HSC Research Reports HSC/11/03, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    18. Janusz Gajda, 2012. "Modeling of short term interest rate based on tempered fractional Langevin equation," HSC Research Reports HSC/12/03, Hugo Steinhaus Center, Wroclaw University of Science and Technology.

  2. Borak, Szymon & Weron, Rafał, 2008. "A semiparametric factor model for electricity forward curve dynamics," SFB 649 Discussion Papers 2008-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Joanna Janczura & Rafal Weron, 2012. "Inference for Markov-regime switching models of electricity spot prices," HSC Research Reports HSC/12/01, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    2. Cartea, Álvaro & González-Pedraz, Carlos, 2010. "How much should we pay for interconnecting electricity markets? A real options approach," DEE - Working Papers. Business Economics. WB wb103206, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    3. Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafał, 2013. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," Energy Economics, Elsevier, vol. 39(C), pages 13-27.
    4. Stefan Trück & Wolfgang Härdle & Rafal Weron, 2012. "The relationship between spot and futures CO2 emission allowance prices in the EU-ETS," HSC Research Reports HSC/12/02, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    5. Härdle, Wolfgang Karl & Majer, Piotr, 2012. "Yield curve modeling and forecasting using semiparametric factor dynamics," SFB 649 Discussion Papers 2012-048, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    6. Yan Li & Liangjun Su & Yuewu Xu, 2015. "A Combined Approach to the Inference of Conditional Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 203-220, April.
    7. Xun Lu & Liangjun Su, 2014. "Jackknife Model Averaging for Quantile Regressions," Working Papers 11-2014, Singapore Management University, School of Economics.
    8. Rafal Weron, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," HSC Research Reports HSC/14/07, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    9. Benth, Fred Espen & Paraschiv, Florentina, 2016. "A Structural Model for Electricity Forward Prices," Working Papers on Finance 1611, University of St. Gallen, School of Finance.
    10. Joanna Janczura & Rafał Weron, 2012. "Efficient estimation of Markov regime-switching models: An application to electricity spot prices," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(3), pages 385-407, July.
    11. Janczura, Joanna & Weron, Rafal, 2010. "An empirical comparison of alternate regime-switching models or electricity spot prices," MPRA Paper 20546, University Library of Munich, Germany.
    12. Benth, Fred Espen & Paraschiv, Florentina, 2018. "A space-time random field model for electricity forward prices," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 203-216.
    13. Caldana, Ruggero & Fusai, Gianluca & Roncoroni, Andrea, 2017. "Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market," European Journal of Operational Research, Elsevier, vol. 261(2), pages 715-734.
    14. Liebl, Dominik, 2013. "Modeling and Forecasting Electricity Spot Prices: A Functional Data Perspective," MPRA Paper 50881, University Library of Munich, Germany.
    15. Weron, Rafal & Janczura, Joanna, 2010. "Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices," MPRA Paper 26628, University Library of Munich, Germany.
    16. Härdle, Wolfgang Karl & Trück, Stefan, 2010. "The dynamics of hourly electricity prices," SFB 649 Discussion Papers 2010-013, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    17. Peter Leoni & Pieter Segaert & Sven Serneels & Tim Verdonck, 2018. "Multivariate constrained robust M‐regression for shaping forward curves in electricity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(11), pages 1391-1406, November.

  3. Borak, Szymon & Härdle, Wolfgang Karl & Mammen, Enno & Park, Byeong U., 2007. "Time series modelling with semiparametric factor dynamics," SFB 649 Discussion Papers 2007-023, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Liebl, Dominik, 2010. "Estimation of the Semiparametric Factor Model: Application to Modelling Time Series of Electricity Spot Prices," MPRA Paper 26800, University Library of Munich, Germany.
    2. Cao, Xiaofeng & Okhrin, Ostap & Odening, Martin & Ritter, Matthias, 2014. "Modelling spatiotemporal variability of temperature," SFB 649 Discussion Papers 2014-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Tingting Cheng & Chaohua Dong & Jiti Gao & Oliver Linton, 2022. "GMM Estimation for High-Dimensional Panel Data Models," Monash Econometrics and Business Statistics Working Papers 11/22, Monash University, Department of Econometrics and Business Statistics.
    4. Rong Liu & Yichuan Zhao, 2021. "Empirical likelihood inference for generalized additive partially linear models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(3), pages 569-585, September.
    5. Katarzyna Maciejowska & Rafal Weron, 2013. "Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships," HSC Research Reports HSC/13/11, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    6. Su, Liangjun & Wang, Xia, 2017. "On time-varying factor models: Estimation and testing," Journal of Econometrics, Elsevier, vol. 198(1), pages 84-101.
    7. Burdejová, Petra & Härdle, Wolfgang Karl, 2017. "Dynamic semi-parametric factor model for functional expectiles," SFB 649 Discussion Papers 2017-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Mammen, Enno & Park, Byeong U. & Schienle, Melanie, 2012. "Additive models: Extensions and related models," SFB 649 Discussion Papers 2012-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    9. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2012. "Modelling and forecasting liquidity supply using semiparametric factor dynamics," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 610-625.
    10. Dickhaus, Thorsten, 2012. "Simultaneous statistical inference in dynamic factor models," SFB 649 Discussion Papers 2012-033, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    11. Giacomini, Enzo & Härdle, Wolfgang Karl & Krätschmer, Volker, 2008. "Dynamic semiparametric factor models in risk neutral density estimation," SFB 649 Discussion Papers 2008-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    12. Härdle, Wolfgang Karl & Mungo, Julius, 2007. "Long memory persistence in the factor of Implied volatility dynamics," SFB 649 Discussion Papers 2007-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    13. Boneva, Lena & Linton, Oliver & Vogt, Michael, 2015. "A semiparametric model for heterogeneous panel data with fixed effects," Journal of Econometrics, Elsevier, vol. 188(2), pages 327-345.
    14. Stefan Trück & Wolfgang Härdle & Rafal Weron, 2012. "The relationship between spot and futures CO2 emission allowance prices in the EU-ETS," HSC Research Reports HSC/12/02, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    15. Härdle, Wolfgang Karl & Majer, Piotr, 2012. "Yield curve modeling and forecasting using semiparametric factor dynamics," SFB 649 Discussion Papers 2012-048, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    16. Alena Bömmel & Song Song & Piotr Majer & Peter Mohr & Hauke Heekeren & Wolfgang Härdle, 2014. "Risk Patterns and Correlated Brain Activities. Multidimensional Statistical Analysis of fMRI Data in Economic Decision Making Study," Psychometrika, Springer;The Psychometric Society, vol. 79(3), pages 489-514, July.
    17. Giacomini, Enzo & Härdle, Wolfgang Karl, 2007. "Statistics of risk aversion," SFB 649 Discussion Papers 2007-025, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    18. Szymon Borak & Rafał Weron, . "A semiparametric factor model for electricity forward curve dynamics," Journal of Energy Markets, Journal of Energy Markets.
    19. Gregory Connor & Oliver Linton & Matthias Hagmann, 2007. "Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns," FMG Discussion Papers dp599, Financial Markets Group.
    20. Yan Li & Liangjun Su & Yuewu Xu, 2015. "A Combined Approach to the Inference of Conditional Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 203-220, April.
    21. Mestekemper, Thomas & Windmann, Michael & Kauermann, Göran, 2010. "Functional hourly forecasting of water temperature," International Journal of Forecasting, Elsevier, vol. 26(4), pages 684-699, October.
    22. Myšičková, Alena & Song, Song & Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2011. "Risk patterns and correlated brain activities: Multidimensional statistical analysis of fMRI data with application to risk patterns," SFB 649 Discussion Papers 2011-085, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    23. Song Song & Wolfgang K. Härdle & Ya'acov Ritov, 2014. "Generalized dynamic semi‐parametric factor models for high‐dimensional non‐stationary time series," Econometrics Journal, Royal Economic Society, vol. 17(2), pages 101-131, June.
    24. Jianqing Fan & Yuan Liao & Han Liu, 2016. "An overview of the estimation of large covariance and precision matrices," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 1-32, February.
    25. Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 0000. "Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates," Tinbergen Institute Discussion Papers 09-041/4, Tinbergen Institute, revised 17 Sep 2010.
    26. Xun Lu & Liangjun Su, 2014. "Jackknife Model Averaging for Quantile Regressions," Working Papers 11-2014, Singapore Management University, School of Economics.
    27. Liebl, Dominik, 2010. "Modeling hourly Electricity Spot Market Prices as non stationary functional times series," MPRA Paper 25017, University Library of Munich, Germany.
    28. Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2015. "Dynamic Factor Models for the Volatility Surface," CREATES Research Papers 2015-13, Department of Economics and Business Economics, Aarhus University.
    29. Markus Pelger & Ruoxuan Xiong, 2018. "State-Varying Factor Models of Large Dimensions," Papers 1807.02248, arXiv.org, revised Oct 2020.
    30. Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2014. "Portfolio decisions and brain reactions via the CEAD method," SFB 649 Discussion Papers 2014-036, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    31. Song, Song & Härdle, Wolfgang Karl & Ritov, Ya'acov, 2010. "High dimensional nonstationary time series modelling with generalized dynamic semiparametric factor model," SFB 649 Discussion Papers 2010-039, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    32. Chen, Likai & Wang, Weining & Wu, Wei Biao, 2017. "Dynamic semiparametric factor model with a common break," SFB 649 Discussion Papers 2017-026, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    33. Liebl, Dominik, 2013. "Modeling and Forecasting Electricity Spot Prices: A Functional Data Perspective," MPRA Paper 50881, University Library of Munich, Germany.
    34. Choros-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013. "CDO surfaces dynamics," SFB 649 Discussion Papers 2013-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    35. Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2016. "A semiparametric factor model for CDO surfaces dynamics," Journal of Multivariate Analysis, Elsevier, vol. 146(C), pages 151-163.
    36. Sergey Nasekin & Wolfgang Karl Hardle, 2020. "Model-driven statistical arbitrage on LETF option markets," Papers 2009.09713, arXiv.org.
    37. Härdle, Wolfgang Karl & Trück, Stefan, 2010. "The dynamics of hourly electricity prices," SFB 649 Discussion Papers 2010-013, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    38. He, Lingyu & Huang, Fei & Shi, Jianjie & Yang, Yanrong, 2021. "Mortality forecasting using factor models: Time-varying or time-invariant factor loadings?," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 14-34.

  4. Borak, Szymon & Härdle, Wolfgang Karl & Mammen, Enno & Park, Byeong U., 2007. "Time series modelling with semiparametric factor dynamics," SFB 649 Discussion Papers 2007-023, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Liebl, Dominik, 2010. "Estimation of the Semiparametric Factor Model: Application to Modelling Time Series of Electricity Spot Prices," MPRA Paper 26800, University Library of Munich, Germany.
    2. Cao, Xiaofeng & Okhrin, Ostap & Odening, Martin & Ritter, Matthias, 2014. "Modelling spatiotemporal variability of temperature," SFB 649 Discussion Papers 2014-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Tingting Cheng & Chaohua Dong & Jiti Gao & Oliver Linton, 2022. "GMM Estimation for High-Dimensional Panel Data Models," Monash Econometrics and Business Statistics Working Papers 11/22, Monash University, Department of Econometrics and Business Statistics.
    4. Rong Liu & Yichuan Zhao, 2021. "Empirical likelihood inference for generalized additive partially linear models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(3), pages 569-585, September.
    5. Katarzyna Maciejowska & Rafal Weron, 2013. "Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships," HSC Research Reports HSC/13/11, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    6. Su, Liangjun & Wang, Xia, 2017. "On time-varying factor models: Estimation and testing," Journal of Econometrics, Elsevier, vol. 198(1), pages 84-101.
    7. Burdejová, Petra & Härdle, Wolfgang Karl, 2017. "Dynamic semi-parametric factor model for functional expectiles," SFB 649 Discussion Papers 2017-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Mammen, Enno & Park, Byeong U. & Schienle, Melanie, 2012. "Additive models: Extensions and related models," SFB 649 Discussion Papers 2012-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    9. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2012. "Modelling and forecasting liquidity supply using semiparametric factor dynamics," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 610-625.
    10. Dickhaus, Thorsten, 2012. "Simultaneous statistical inference in dynamic factor models," SFB 649 Discussion Papers 2012-033, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    11. Giacomini, Enzo & Härdle, Wolfgang Karl & Krätschmer, Volker, 2008. "Dynamic semiparametric factor models in risk neutral density estimation," SFB 649 Discussion Papers 2008-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    12. Härdle, Wolfgang Karl & Mungo, Julius, 2007. "Long memory persistence in the factor of Implied volatility dynamics," SFB 649 Discussion Papers 2007-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    13. Boneva, Lena & Linton, Oliver & Vogt, Michael, 2015. "A semiparametric model for heterogeneous panel data with fixed effects," Journal of Econometrics, Elsevier, vol. 188(2), pages 327-345.
    14. Stefan Trück & Wolfgang Härdle & Rafal Weron, 2012. "The relationship between spot and futures CO2 emission allowance prices in the EU-ETS," HSC Research Reports HSC/12/02, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    15. Härdle, Wolfgang Karl & Majer, Piotr, 2012. "Yield curve modeling and forecasting using semiparametric factor dynamics," SFB 649 Discussion Papers 2012-048, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    16. Alena Bömmel & Song Song & Piotr Majer & Peter Mohr & Hauke Heekeren & Wolfgang Härdle, 2014. "Risk Patterns and Correlated Brain Activities. Multidimensional Statistical Analysis of fMRI Data in Economic Decision Making Study," Psychometrika, Springer;The Psychometric Society, vol. 79(3), pages 489-514, July.
    17. Giacomini, Enzo & Härdle, Wolfgang Karl, 2007. "Statistics of risk aversion," SFB 649 Discussion Papers 2007-025, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    18. Szymon Borak & Rafał Weron, . "A semiparametric factor model for electricity forward curve dynamics," Journal of Energy Markets, Journal of Energy Markets.
    19. Gregory Connor & Oliver Linton & Matthias Hagmann, 2007. "Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns," FMG Discussion Papers dp599, Financial Markets Group.
    20. Yan Li & Liangjun Su & Yuewu Xu, 2015. "A Combined Approach to the Inference of Conditional Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 203-220, April.
    21. Mestekemper, Thomas & Windmann, Michael & Kauermann, Göran, 2010. "Functional hourly forecasting of water temperature," International Journal of Forecasting, Elsevier, vol. 26(4), pages 684-699, October.
    22. Myšičková, Alena & Song, Song & Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2011. "Risk patterns and correlated brain activities: Multidimensional statistical analysis of fMRI data with application to risk patterns," SFB 649 Discussion Papers 2011-085, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    23. Song Song & Wolfgang K. Härdle & Ya'acov Ritov, 2014. "Generalized dynamic semi‐parametric factor models for high‐dimensional non‐stationary time series," Econometrics Journal, Royal Economic Society, vol. 17(2), pages 101-131, June.
    24. Jianqing Fan & Yuan Liao & Han Liu, 2016. "An overview of the estimation of large covariance and precision matrices," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 1-32, February.
    25. Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 0000. "Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates," Tinbergen Institute Discussion Papers 09-041/4, Tinbergen Institute, revised 17 Sep 2010.
    26. Xun Lu & Liangjun Su, 2014. "Jackknife Model Averaging for Quantile Regressions," Working Papers 11-2014, Singapore Management University, School of Economics.
    27. Liebl, Dominik, 2010. "Modeling hourly Electricity Spot Market Prices as non stationary functional times series," MPRA Paper 25017, University Library of Munich, Germany.
    28. Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2015. "Dynamic Factor Models for the Volatility Surface," CREATES Research Papers 2015-13, Department of Economics and Business Economics, Aarhus University.
    29. Markus Pelger & Ruoxuan Xiong, 2018. "State-Varying Factor Models of Large Dimensions," Papers 1807.02248, arXiv.org, revised Oct 2020.
    30. Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2014. "Portfolio decisions and brain reactions via the CEAD method," SFB 649 Discussion Papers 2014-036, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    31. Song, Song & Härdle, Wolfgang Karl & Ritov, Ya'acov, 2010. "High dimensional nonstationary time series modelling with generalized dynamic semiparametric factor model," SFB 649 Discussion Papers 2010-039, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    32. Chen, Likai & Wang, Weining & Wu, Wei Biao, 2017. "Dynamic semiparametric factor model with a common break," SFB 649 Discussion Papers 2017-026, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    33. Liebl, Dominik, 2013. "Modeling and Forecasting Electricity Spot Prices: A Functional Data Perspective," MPRA Paper 50881, University Library of Munich, Germany.
    34. Choros-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013. "CDO surfaces dynamics," SFB 649 Discussion Papers 2013-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    35. Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2016. "A semiparametric factor model for CDO surfaces dynamics," Journal of Multivariate Analysis, Elsevier, vol. 146(C), pages 151-163.
    36. Sergey Nasekin & Wolfgang Karl Hardle, 2020. "Model-driven statistical arbitrage on LETF option markets," Papers 2009.09713, arXiv.org.
    37. Härdle, Wolfgang Karl & Trück, Stefan, 2010. "The dynamics of hourly electricity prices," SFB 649 Discussion Papers 2010-013, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    38. He, Lingyu & Huang, Fei & Shi, Jianjie & Yang, Yanrong, 2021. "Mortality forecasting using factor models: Time-varying or time-invariant factor loadings?," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 14-34.

  5. Borak, Szymon & Härdle, Wolfgang Karl & Trück, Stefan & Weron, Rafał, 2006. "Convenience yields for CO2 emission allowance futures contracts," SFB 649 Discussion Papers 2006-076, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Amélie Charles & Olivier Darné & Jessica Fouilloux, 2010. "Testing the Martingale Difference Hypothesis in the EU ETS Markets for the CO2 Emission Allowances: Evidence from Phase I and Phase II," Post-Print hal-00797491, HAL.
    2. Panagiotis G. Papaioannou & George P. Papaioannou & Kostas Siettos & Akylas Stratigakos & Christos Dikaiakos, 2017. "Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece," Papers 1708.07063, arXiv.org.
    3. Sévi, Benoît, 2015. "Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps," Economic Modelling, Elsevier, vol. 44(C), pages 243-251.
    4. Palao, Fernando & Pardo, Ángel, 2021. "The inconvenience yield of carbon futures," Energy Economics, Elsevier, vol. 101(C).
    5. Veith, Stefan & Werner, Jörg R. & Zimmermann, Jochen, 2009. "Capital market response to emission rights returns: Evidence from the European power sector," Energy Economics, Elsevier, vol. 31(4), pages 605-613, July.
    6. Rittler, Daniel, 2009. "Price Discovery, Causality and Volatility Spillovers in European Union Allowances Phase II: A High Frequency Analysis," Working Papers 0492, University of Heidelberg, Department of Economics.
    7. Julien Chevallier, 2010. "Modelling the convenience yield in carbon prices using daily and realized measures," Working Papers halshs-00463921, HAL.
    8. Charles, Amélie & Darné, Olivier & Fouilloux, Jessica, 2011. "Testing the martingale difference hypothesis in CO2 emission allowances," Economic Modelling, Elsevier, vol. 28(1-2), pages 27-35, January.
    9. Charles, Amélie & Darné, Olivier & Fouilloux, Jessica, 2013. "Market efficiency in the European carbon markets," Energy Policy, Elsevier, vol. 60(C), pages 785-792.
    10. Emilie Alberola & Julien Chevallier & Benoît Chèze, 2008. "The EU Emissions Trading Scheme : Disentangling the Effects of Industrial Production and CO2 Emissions on Carbon Prices," Working Papers hal-04140795, HAL.
    11. Don Bredin & John Parsons, 2016. "Why is Spot Carbon so Cheap and Future Carbon so Dear? The Term Structure of Carbon Prices," The Energy Journal, , vol. 37(3), pages 83-108, July.
    12. Maria Mansanet-Bataller, 2011. "CO2 Prices and Portfolio Management during Phase II of the EU ETS," Working Papers 1101, Chaire Economie du climat.
    13. Carlos Pinho & Mara Madaleno, 2011. "Links between spot and futures allowances: ECX and EEX markets comparison," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 35(2/3/4), pages 101-131.
    14. Batten, Jonathan A. & Maddox, Grace E. & Young, Martin R., 2021. "Does weather, or energy prices, affect carbon prices?," Energy Economics, Elsevier, vol. 96(C).
    15. Philip, Dennis & Shi, Yukun, 2015. "Impact of allowance submissions in European carbon emission markets," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 27-37.
    16. Rittler, Daniel, 2012. "Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 774-785.
    17. Marc Gronwald & Janina Ketterer & Stefan Trück, 2011. "The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis," CESifo Working Paper Series 3418, CESifo.
    18. Rammerstorfer, Margarethe & Eisl, Roland, 2011. "Carbon capture and storage—Investment strategies for the future?," Energy Policy, Elsevier, vol. 39(11), pages 7103-7111.
    19. Dorota Ciesielska-Maciągowska & Dawid Klimczak & Małgorzata Skrzek-Lubasińska, 2021. "Central and Eastern European CO 2 Market—Challenges of Emissions Trading for Energy Companies," Energies, MDPI, vol. 14(4), pages 1-14, February.
    20. Leon Vinokur, 2009. "Disposition in the Carbon Market and Institutional Constraints," Working Papers 652, Queen Mary University of London, School of Economics and Finance.
    21. Chevallier, Julien & Ielpo, Florian & Mercier, Ludovic, 2009. "Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event," Energy Policy, Elsevier, vol. 37(1), pages 15-28, January.
    22. Rickels, Wilfried & Duscha, Vicki & Keller, Andreas & Peterson, Sonja, 2007. "The determinants of allowance prices in the European emissions trading scheme: Can we expect an efficient allowance market 2008?," Kiel Working Papers 1387, Kiel Institute for the World Economy (IfW Kiel).
    23. Fred Espen Benth & Jūratė Šaltytė Benth & Steen Koekebakker, 2008. "Stochastic Modeling of Electricity and Related Markets," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6811.
    24. Heinzel, Christoph, 2008. "Implications of diverging social and private discount rates for investments in the German power industry: a new case for nuclear energy?," Dresden Discussion Paper Series in Economics 03/08, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
    25. Kumar, Surender & Managi, Shunsuke & Matsuda, Akimi, 2012. "Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis," Energy Economics, Elsevier, vol. 34(1), pages 215-226.
    26. Marliese Uhrig-Homburg & Michael Wagner, 2008. "Derivative Instruments in the EU Emissions Trading Scheme — An Early Market Perspective," Energy & Environment, , vol. 19(5), pages 635-655, September.
    27. Kim, Jungmu & Park, Yuen Jung & Ryu, Doojin, 2017. "Stochastic volatility of the futures prices of emission allowances: A Bayesian approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 714-724.
    28. Daskalakis, George & Psychoyios, Dimitris & Markellos, Raphael N., 2009. "Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1230-1241, July.
    29. Borak, Szymon & Härdle, Wolfgang Karl & Mammen, Enno & Park, Byeong U., 2007. "Time series modelling with semiparametric factor dynamics," SFB 649 Discussion Papers 2007-023, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    30. Vicente Medina & Angel Pardo, 2013. "Is the EUA a new asset class?," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 637-653, March.
    31. Feria-Domínguez, José Manuel & Rodriguez-Carrillero, David & Guerra-Martinez, José Carlos, 2018. "Measuring the risk-adjusted performance of CO2 emission markets: Evidence from SENDECO2," Utilities Policy, Elsevier, vol. 50(C), pages 124-132.
    32. Koch, Nicolas & Bassen, Alexander, 2013. "Valuing the carbon exposure of European utilities. The role of fuel mix, permit allocation and replacement investments," Energy Economics, Elsevier, vol. 36(C), pages 431-443.
    33. Tisdell, John G. & Grainger, Corinne, 2008. "An Experimental Economic Analysis of Carbon Trading Options for Australia," 2008 Conference, August 28-29, 2008, Nelson, New Zealand 96661, New Zealand Agricultural and Resource Economics Society.
    34. Rotfuß, Waldemar, 2009. "Intraday price formation and volatility in the European Union emissions trading scheme: an introductory analysis," ZEW Discussion Papers 09-018, ZEW - Leibniz Centre for European Economic Research.
    35. Vicente Medina Martínez & Ángel Pardo Tornero, 2012. "Stylized facts of CO2 returns," Working Papers. Serie AD 2012-14, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    36. Viteva, Svetlana & Veld-Merkoulova, Yulia V. & Campbell, Kevin, 2014. "The forecasting accuracy of implied volatility from ECX carbon options," Energy Economics, Elsevier, vol. 45(C), pages 475-484.
    37. Julien Chevallier, 2010. "A Note on Cointegrating and Vector Autoregressive Relationships between CO2 allowances spot and futures prices," Economics Bulletin, AccessEcon, vol. 30(2), pages 1564-1584.

  6. Borak, Szymon & Härdle, Wolfgang Karl & Trück, Stefan & Weron, Rafał, 2006. "Convenience yields for CO2 emission allowance futures contracts," SFB 649 Discussion Papers 2006-076, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Amélie Charles & Olivier Darné & Jessica Fouilloux, 2010. "Testing the Martingale Difference Hypothesis in the EU ETS Markets for the CO2 Emission Allowances: Evidence from Phase I and Phase II," Post-Print hal-00797491, HAL.
    2. Panagiotis G. Papaioannou & George P. Papaioannou & Kostas Siettos & Akylas Stratigakos & Christos Dikaiakos, 2017. "Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece," Papers 1708.07063, arXiv.org.
    3. Sévi, Benoît, 2015. "Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps," Economic Modelling, Elsevier, vol. 44(C), pages 243-251.
    4. Palao, Fernando & Pardo, Ángel, 2021. "The inconvenience yield of carbon futures," Energy Economics, Elsevier, vol. 101(C).
    5. Veith, Stefan & Werner, Jörg R. & Zimmermann, Jochen, 2009. "Capital market response to emission rights returns: Evidence from the European power sector," Energy Economics, Elsevier, vol. 31(4), pages 605-613, July.
    6. Rittler, Daniel, 2009. "Price Discovery, Causality and Volatility Spillovers in European Union Allowances Phase II: A High Frequency Analysis," Working Papers 0492, University of Heidelberg, Department of Economics.
    7. Julien Chevallier, 2010. "Modelling the convenience yield in carbon prices using daily and realized measures," Working Papers halshs-00463921, HAL.
    8. Charles, Amélie & Darné, Olivier & Fouilloux, Jessica, 2011. "Testing the martingale difference hypothesis in CO2 emission allowances," Economic Modelling, Elsevier, vol. 28(1-2), pages 27-35, January.
    9. Charles, Amélie & Darné, Olivier & Fouilloux, Jessica, 2013. "Market efficiency in the European carbon markets," Energy Policy, Elsevier, vol. 60(C), pages 785-792.
    10. Emilie Alberola & Julien Chevallier & Benoît Chèze, 2008. "The EU Emissions Trading Scheme : Disentangling the Effects of Industrial Production and CO2 Emissions on Carbon Prices," Working Papers hal-04140795, HAL.
    11. Don Bredin & John Parsons, 2016. "Why is Spot Carbon so Cheap and Future Carbon so Dear? The Term Structure of Carbon Prices," The Energy Journal, , vol. 37(3), pages 83-108, July.
    12. Maria Mansanet-Bataller, 2011. "CO2 Prices and Portfolio Management during Phase II of the EU ETS," Working Papers 1101, Chaire Economie du climat.
    13. Carlos Pinho & Mara Madaleno, 2011. "Links between spot and futures allowances: ECX and EEX markets comparison," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 35(2/3/4), pages 101-131.
    14. Batten, Jonathan A. & Maddox, Grace E. & Young, Martin R., 2021. "Does weather, or energy prices, affect carbon prices?," Energy Economics, Elsevier, vol. 96(C).
    15. Philip, Dennis & Shi, Yukun, 2015. "Impact of allowance submissions in European carbon emission markets," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 27-37.
    16. Rittler, Daniel, 2012. "Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 774-785.
    17. Marc Gronwald & Janina Ketterer & Stefan Trück, 2011. "The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis," CESifo Working Paper Series 3418, CESifo.
    18. Rammerstorfer, Margarethe & Eisl, Roland, 2011. "Carbon capture and storage—Investment strategies for the future?," Energy Policy, Elsevier, vol. 39(11), pages 7103-7111.
    19. Dorota Ciesielska-Maciągowska & Dawid Klimczak & Małgorzata Skrzek-Lubasińska, 2021. "Central and Eastern European CO 2 Market—Challenges of Emissions Trading for Energy Companies," Energies, MDPI, vol. 14(4), pages 1-14, February.
    20. Leon Vinokur, 2009. "Disposition in the Carbon Market and Institutional Constraints," Working Papers 652, Queen Mary University of London, School of Economics and Finance.
    21. Chevallier, Julien & Ielpo, Florian & Mercier, Ludovic, 2009. "Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event," Energy Policy, Elsevier, vol. 37(1), pages 15-28, January.
    22. Rickels, Wilfried & Duscha, Vicki & Keller, Andreas & Peterson, Sonja, 2007. "The determinants of allowance prices in the European emissions trading scheme: Can we expect an efficient allowance market 2008?," Kiel Working Papers 1387, Kiel Institute for the World Economy (IfW Kiel).
    23. Fred Espen Benth & Jūratė Šaltytė Benth & Steen Koekebakker, 2008. "Stochastic Modeling of Electricity and Related Markets," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6811.
    24. Heinzel, Christoph, 2008. "Implications of diverging social and private discount rates for investments in the German power industry: a new case for nuclear energy?," Dresden Discussion Paper Series in Economics 03/08, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
    25. Kumar, Surender & Managi, Shunsuke & Matsuda, Akimi, 2012. "Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis," Energy Economics, Elsevier, vol. 34(1), pages 215-226.
    26. Marliese Uhrig-Homburg & Michael Wagner, 2008. "Derivative Instruments in the EU Emissions Trading Scheme — An Early Market Perspective," Energy & Environment, , vol. 19(5), pages 635-655, September.
    27. Kim, Jungmu & Park, Yuen Jung & Ryu, Doojin, 2017. "Stochastic volatility of the futures prices of emission allowances: A Bayesian approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 714-724.
    28. Daskalakis, George & Psychoyios, Dimitris & Markellos, Raphael N., 2009. "Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1230-1241, July.
    29. Borak, Szymon & Härdle, Wolfgang Karl & Mammen, Enno & Park, Byeong U., 2007. "Time series modelling with semiparametric factor dynamics," SFB 649 Discussion Papers 2007-023, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    30. Vicente Medina & Angel Pardo, 2013. "Is the EUA a new asset class?," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 637-653, March.
    31. Feria-Domínguez, José Manuel & Rodriguez-Carrillero, David & Guerra-Martinez, José Carlos, 2018. "Measuring the risk-adjusted performance of CO2 emission markets: Evidence from SENDECO2," Utilities Policy, Elsevier, vol. 50(C), pages 124-132.
    32. Koch, Nicolas & Bassen, Alexander, 2013. "Valuing the carbon exposure of European utilities. The role of fuel mix, permit allocation and replacement investments," Energy Economics, Elsevier, vol. 36(C), pages 431-443.
    33. Tisdell, John G. & Grainger, Corinne, 2008. "An Experimental Economic Analysis of Carbon Trading Options for Australia," 2008 Conference, August 28-29, 2008, Nelson, New Zealand 96661, New Zealand Agricultural and Resource Economics Society.
    34. Rotfuß, Waldemar, 2009. "Intraday price formation and volatility in the European Union emissions trading scheme: an introductory analysis," ZEW Discussion Papers 09-018, ZEW - Leibniz Centre for European Economic Research.
    35. Vicente Medina Martínez & Ángel Pardo Tornero, 2012. "Stylized facts of CO2 returns," Working Papers. Serie AD 2012-14, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    36. Viteva, Svetlana & Veld-Merkoulova, Yulia V. & Campbell, Kevin, 2014. "The forecasting accuracy of implied volatility from ECX carbon options," Energy Economics, Elsevier, vol. 45(C), pages 475-484.
    37. Julien Chevallier, 2010. "A Note on Cointegrating and Vector Autoregressive Relationships between CO2 allowances spot and futures prices," Economics Bulletin, AccessEcon, vol. 30(2), pages 1564-1584.

  7. Borak, Szymon & Fengler, Matthias R. & Härdle, Wolfgang Karl, 2005. "DSFM fitting of implied volatility surfaces," SFB 649 Discussion Papers 2005-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Härdle, Wolfgang Karl & Mungo, Julius, 2007. "Long memory persistence in the factor of Implied volatility dynamics," SFB 649 Discussion Papers 2007-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Brüggemann, Ralf & Härdle, Wolfgang Karl & Mungo, Julius & Trenkler, Carsten, 2006. "VAR modeling for dynamic semiparametric factors of volatility strings," SFB 649 Discussion Papers 2006-011, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  8. Borak, Szymon & Härdle, Wolfgang Karl & Weron, Rafał, 2005. "Stable distributions," SFB 649 Discussion Papers 2005-008, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Nassim N. Taleb, 2012. "How We Tend To Overestimate Powerlaw Tail Exponents," Papers 1210.1966, arXiv.org.
    2. Barunik, Jozef & Kristoufek, Ladislav, 2010. "On Hurst exponent estimation under heavy-tailed distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(18), pages 3844-3855.
    3. Jozef Barunik & Lukas Vacha, 2012. "Monte Carlo-based tail exponent estimator," Papers 1201.4781, arXiv.org.
    4. José Antonio Climent Hernández & Carolina Cruz Matú, 2017. "Pricing of a structured product on the SX5E when the uncertainty of returns is modeled as a log-stable process," Contaduría y Administración, Accounting and Management, vol. 62(4), pages 1160-1182, Octubre-D.
    5. Molina-Muñoz, Jesús & Mora-Valencia, Andrés & Perote, Javier, 2020. "Market-crash forecasting based on the dynamics of the alpha-stable distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
    6. Ece Oral, 2016. "Measuring Consumer Inflation Expectations in Turkey," Eastern European Business and Economics Journal, Eastern European Business and Economics Studies Centre, vol. 2(1), pages 43-74.
    7. Gaffeo, Edoardo & Scorcu, Antonello E. & Vici, Laura, 2008. "Demand distribution dynamics in creative industries: The market for books in Italy," Information Economics and Policy, Elsevier, vol. 20(3), pages 257-268, September.
    8. Brahimi, Brahim & Abdelli, Jihane, 2016. "Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 135-143.
    9. Sandro Sapio, 2012. "Modeling the distribution of day-ahead electricity returns: a comparison," Quantitative Finance, Taylor & Francis Journals, vol. 12(12), pages 1935-1949, December.
    10. Sebastian, Orzeł & Agnieszka, Wyłomańska, 2010. "Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times," MPRA Paper 28593, University Library of Munich, Germany.
    11. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2007. "Agent-based Models of Financial Markets," Papers physics/0701140, arXiv.org.
    12. Yuan Hu & Svetlozar T. Rachev & Frank J. Fabozzi, 2019. "Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation," Papers 1908.05419, arXiv.org.
    13. Ayoub Ammy-Driss & Matthieu Garcin, 2021. "Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics," Working Papers hal-02903655, HAL.
    14. José Antonio Climent Hernández & Luis Fernando Hoyos Reyes & Domingo Rodríguez Benavides, 2017. "Los procesos alfa estables y su relación con el exponentede autosimilitud: paridades de los tipos de cambio dólarestadounidense, dólar canadiense, euro y yen," Contaduría y Administración, Accounting and Management, vol. 62(5), pages 9-10, Diciembre.
    15. Ece Oral, 2013. "Consumer Inflation Expectations in Turkey," IFC Working Papers 10, Bank for International Settlements.
    16. Dominik Krezolek, 2012. "Non-Classical Measures of Investment Risk on the Market of Precious Non-Ferrous Metals Using the Methodology of Stable Distributions," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 89-104.
    17. Annibal Figueiredo & Iram Gleria & Raul Matsushita & Sergio Da Silva, 2004. "Financial Volatility and Independent and Identically Distributed Variables," Finance 0407011, University Library of Munich, Germany.
    18. Ayoub Ammy-Driss & Matthieu Garcin, 2020. "Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics," Papers 2007.10727, arXiv.org, revised Nov 2021.
    19. José Antonio Climent Hernández & Carolina Cruz Matú, 2017. "Valuación de un producto estructurado de compra sobre el SX5E cuando la incertidumbre de los rendimientos está modelada con procesos log-estables," Contaduría y Administración, Accounting and Management, vol. 62(4), pages 1136-1159, Octubre-D.
    20. Annika Krutto, 2016. "Parameter Estimation in Stable Law," Risks, MDPI, vol. 4(4), pages 1-15, November.
    21. Raul Matsushita & Iram Gleria & Annibal Figueiredo & Sergio Da Silva, 2004. "The Econophysics of the Brazilian Real-US Dollar Rate," Finance 0407012, University Library of Munich, Germany.
    22. Fajardo, Jose Santiago, 2006. "Equivalent Martingale Measures and Lévy Processes," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 60(4), February.
    23. Serttas, Fatma Ozgu, 2010. "Essays on infinite-variance stable errors and robust estimation procedures," ISU General Staff Papers 201001010800002742, Iowa State University, Department of Economics.
    24. Ammy-Driss, Ayoub & Garcin, Matthieu, 2023. "Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 609(C).
    25. Kenneth Bruninx & Erik Delarue & William D'haeseleer, 2013. "Statistical description of the error on wind power forecasts via a Lévy α-stable distribution," RSCAS Working Papers 2013/50, European University Institute.
    26. Dassios, Angelos & Qu, Yan & Zhao, Hongbiao, 2018. "Exact simulation for a class of tempered stable," LSE Research Online Documents on Economics 86981, London School of Economics and Political Science, LSE Library.
    27. José Antonio Climent Hernández & Luis Fernando Hoyos Reyes & Domingo Rodríguez Benavides, 2017. "The a-stable processes and their relationship with theexponent of self-similarity: Exchange rates of USADollar, Canadian Dollar, Euro and Yen," Contaduría y Administración, Accounting and Management, vol. 62(5), pages 11-12, Diciembre.
    28. Greg Hannsgen, 2011. "Infinite-variance, Alpha-stable Shocks in Monetary SVAR: Final Working Paper Version," Economics Working Paper Archive wp_682, Levy Economics Institute.
    29. Sebastian J. Goerg & Johannes Kaiser, 2009. "Nonparametric testing of distributions—the Epps–Singleton two-sample test using the empirical characteristic function," Stata Journal, StataCorp LLC, vol. 9(3), pages 454-465, September.
    30. Weron, Rafał, 2004. "Computationally intensive Value at Risk calculations," Papers 2004,32, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
    31. Paolella, Marc S., 2017. "Asymmetric stable Paretian distribution testing," Econometrics and Statistics, Elsevier, vol. 1(C), pages 19-39.
    32. Taleb, Nassim Nicholas, 2009. "Errors, robustness, and the fourth quadrant," International Journal of Forecasting, Elsevier, vol. 25(4), pages 744-759, October.
    33. Dufour, Jean-Marie & Kurz-Kim, Jeong-Ryeol, 2010. "Exact inference and optimal invariant estimation for the stability parameter of symmetric [alpha]-stable distributions," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 180-194, March.
    34. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034, Decembrie.
    35. Daniel Traian Pele & Vasile Nicolae Stanciulescu, 2015. "On a Class of Alpha-stable Distributions and Its Applications in Estimating Market Risk," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 7(2), pages 007-015, December.

  9. Borak, Szymon & Härdle, Wolfgang Karl & Weron, Rafał, 2005. "Stable distributions," SFB 649 Discussion Papers 2005-008, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Nassim N. Taleb, 2012. "How We Tend To Overestimate Powerlaw Tail Exponents," Papers 1210.1966, arXiv.org.
    2. Barunik, Jozef & Kristoufek, Ladislav, 2010. "On Hurst exponent estimation under heavy-tailed distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(18), pages 3844-3855.
    3. Jozef Barunik & Lukas Vacha, 2012. "Monte Carlo-based tail exponent estimator," Papers 1201.4781, arXiv.org.
    4. José Antonio Climent Hernández & Carolina Cruz Matú, 2017. "Pricing of a structured product on the SX5E when the uncertainty of returns is modeled as a log-stable process," Contaduría y Administración, Accounting and Management, vol. 62(4), pages 1160-1182, Octubre-D.
    5. Molina-Muñoz, Jesús & Mora-Valencia, Andrés & Perote, Javier, 2020. "Market-crash forecasting based on the dynamics of the alpha-stable distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
    6. Ece Oral, 2016. "Measuring Consumer Inflation Expectations in Turkey," Eastern European Business and Economics Journal, Eastern European Business and Economics Studies Centre, vol. 2(1), pages 43-74.
    7. Gaffeo, Edoardo & Scorcu, Antonello E. & Vici, Laura, 2008. "Demand distribution dynamics in creative industries: The market for books in Italy," Information Economics and Policy, Elsevier, vol. 20(3), pages 257-268, September.
    8. Brahimi, Brahim & Abdelli, Jihane, 2016. "Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 135-143.
    9. Sandro Sapio, 2012. "Modeling the distribution of day-ahead electricity returns: a comparison," Quantitative Finance, Taylor & Francis Journals, vol. 12(12), pages 1935-1949, December.
    10. Sebastian, Orzeł & Agnieszka, Wyłomańska, 2010. "Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times," MPRA Paper 28593, University Library of Munich, Germany.
    11. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2007. "Agent-based Models of Financial Markets," Papers physics/0701140, arXiv.org.
    12. Yuan Hu & Svetlozar T. Rachev & Frank J. Fabozzi, 2019. "Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation," Papers 1908.05419, arXiv.org.
    13. Ayoub Ammy-Driss & Matthieu Garcin, 2021. "Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics," Working Papers hal-02903655, HAL.
    14. José Antonio Climent Hernández & Luis Fernando Hoyos Reyes & Domingo Rodríguez Benavides, 2017. "Los procesos alfa estables y su relación con el exponentede autosimilitud: paridades de los tipos de cambio dólarestadounidense, dólar canadiense, euro y yen," Contaduría y Administración, Accounting and Management, vol. 62(5), pages 9-10, Diciembre.
    15. Ece Oral, 2013. "Consumer Inflation Expectations in Turkey," IFC Working Papers 10, Bank for International Settlements.
    16. Dominik Krezolek, 2012. "Non-Classical Measures of Investment Risk on the Market of Precious Non-Ferrous Metals Using the Methodology of Stable Distributions," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 89-104.
    17. Annibal Figueiredo & Iram Gleria & Raul Matsushita & Sergio Da Silva, 2004. "Financial Volatility and Independent and Identically Distributed Variables," Finance 0407011, University Library of Munich, Germany.
    18. Ayoub Ammy-Driss & Matthieu Garcin, 2020. "Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics," Papers 2007.10727, arXiv.org, revised Nov 2021.
    19. José Antonio Climent Hernández & Carolina Cruz Matú, 2017. "Valuación de un producto estructurado de compra sobre el SX5E cuando la incertidumbre de los rendimientos está modelada con procesos log-estables," Contaduría y Administración, Accounting and Management, vol. 62(4), pages 1136-1159, Octubre-D.
    20. Annika Krutto, 2016. "Parameter Estimation in Stable Law," Risks, MDPI, vol. 4(4), pages 1-15, November.
    21. Raul Matsushita & Iram Gleria & Annibal Figueiredo & Sergio Da Silva, 2004. "The Econophysics of the Brazilian Real-US Dollar Rate," Finance 0407012, University Library of Munich, Germany.
    22. Fajardo, Jose Santiago, 2006. "Equivalent Martingale Measures and Lévy Processes," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 60(4), February.
    23. Serttas, Fatma Ozgu, 2010. "Essays on infinite-variance stable errors and robust estimation procedures," ISU General Staff Papers 201001010800002742, Iowa State University, Department of Economics.
    24. Ammy-Driss, Ayoub & Garcin, Matthieu, 2023. "Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 609(C).
    25. Kenneth Bruninx & Erik Delarue & William D'haeseleer, 2013. "Statistical description of the error on wind power forecasts via a Lévy α-stable distribution," RSCAS Working Papers 2013/50, European University Institute.
    26. Dassios, Angelos & Qu, Yan & Zhao, Hongbiao, 2018. "Exact simulation for a class of tempered stable," LSE Research Online Documents on Economics 86981, London School of Economics and Political Science, LSE Library.
    27. José Antonio Climent Hernández & Luis Fernando Hoyos Reyes & Domingo Rodríguez Benavides, 2017. "The a-stable processes and their relationship with theexponent of self-similarity: Exchange rates of USADollar, Canadian Dollar, Euro and Yen," Contaduría y Administración, Accounting and Management, vol. 62(5), pages 11-12, Diciembre.
    28. Greg Hannsgen, 2011. "Infinite-variance, Alpha-stable Shocks in Monetary SVAR: Final Working Paper Version," Economics Working Paper Archive wp_682, Levy Economics Institute.
    29. Sebastian J. Goerg & Johannes Kaiser, 2009. "Nonparametric testing of distributions—the Epps–Singleton two-sample test using the empirical characteristic function," Stata Journal, StataCorp LLC, vol. 9(3), pages 454-465, September.
    30. Weron, Rafał, 2004. "Computationally intensive Value at Risk calculations," Papers 2004,32, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
    31. Paolella, Marc S., 2017. "Asymmetric stable Paretian distribution testing," Econometrics and Statistics, Elsevier, vol. 1(C), pages 19-39.
    32. Taleb, Nassim Nicholas, 2009. "Errors, robustness, and the fourth quadrant," International Journal of Forecasting, Elsevier, vol. 25(4), pages 744-759, October.
    33. Dufour, Jean-Marie & Kurz-Kim, Jeong-Ryeol, 2010. "Exact inference and optimal invariant estimation for the stability parameter of symmetric [alpha]-stable distributions," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 180-194, March.
    34. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034, Decembrie.
    35. Daniel Traian Pele & Vasile Nicolae Stanciulescu, 2015. "On a Class of Alpha-stable Distributions and Its Applications in Estimating Market Risk," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 7(2), pages 007-015, December.

  10. Borak, Szymon & Detlefsen, Kai & Härdle, Wolfgang Karl, 2005. "FFT based option pricing," SFB 649 Discussion Papers 2005-011, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Janek, Agnieszka & Kluge, Tino & Weron, Rafal & Wystup, Uwe, 2010. "FX Smile in the Heston Model," MPRA Paper 25491, University Library of Munich, Germany.
    2. A S Hurn & Kenenth A Lindsay & Andrew McClelland, 2013. "On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options," NCER Working Paper Series 90, National Centre for Econometric Research.
    3. Emmanuel Hanert & Aanand Venkatramanan, 2008. "Meshfree Approximation for Multi-Asset Options," ICMA Centre Discussion Papers in Finance icma-dp2009-07, Henley Business School, University of Reading, revised Jun 2009.
    4. Horacio Alberto Ruiz Olvera, 2011. "Valuación de opciones europeas mediante procesos de Lévy exponenciales y transformada rápida de Fourier," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 6(2), pages 16-33.
    5. Srikanth Iyer & Seema Nanda & Swapnil Kumar, 2013. "An Empirical Comparison of Two Stochastic Volatility Models using Indian Market Data," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(3), pages 243-259, September.
    6. Chen, Ying & Härdle, Wolfgang & Spokoiny, Vladimir, 2010. "GHICA -- Risk analysis with GH distributions and independent components," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 255-269, March.

  11. Borak, Szymon & Detlefsen, Kai & Härdle, Wolfgang Karl, 2005. "FFT based option pricing," SFB 649 Discussion Papers 2005-011, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Janek, Agnieszka & Kluge, Tino & Weron, Rafal & Wystup, Uwe, 2010. "FX Smile in the Heston Model," MPRA Paper 25491, University Library of Munich, Germany.
    2. A S Hurn & Kenenth A Lindsay & Andrew McClelland, 2013. "On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options," NCER Working Paper Series 90, National Centre for Econometric Research.
    3. Emmanuel Hanert & Aanand Venkatramanan, 2008. "Meshfree Approximation for Multi-Asset Options," ICMA Centre Discussion Papers in Finance icma-dp2009-07, Henley Business School, University of Reading, revised Jun 2009.
    4. Horacio Alberto Ruiz Olvera, 2011. "Valuación de opciones europeas mediante procesos de Lévy exponenciales y transformada rápida de Fourier," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 6(2), pages 16-33.
    5. Srikanth Iyer & Seema Nanda & Swapnil Kumar, 2013. "An Empirical Comparison of Two Stochastic Volatility Models using Indian Market Data," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(3), pages 243-259, September.
    6. Chen, Ying & Härdle, Wolfgang & Spokoiny, Vladimir, 2010. "GHICA -- Risk analysis with GH distributions and independent components," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 255-269, March.

  12. Borak, Szymon & Fengler, Matthias R. & Härdle, Wolfgang Karl, 2005. "DSFM fitting of implied volatility surfaces," SFB 649 Discussion Papers 2005-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Härdle, Wolfgang Karl & Mungo, Julius, 2007. "Long memory persistence in the factor of Implied volatility dynamics," SFB 649 Discussion Papers 2007-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Brüggemann, Ralf & Härdle, Wolfgang Karl & Mungo, Julius & Trenkler, Carsten, 2006. "VAR modeling for dynamic semiparametric factors of volatility strings," SFB 649 Discussion Papers 2006-011, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

Software components

  1. Szymon Borak & Rafal Weron, 2010. "STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams," Statistical Software Components M429004, Boston College Department of Economics.

    Cited by:

    1. Daniel Traian Pele & Vasile Nicolae Stanciulescu, 2015. "On a Class of Alpha-stable Distributions and Its Applications in Estimating Market Risk," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 7(2), pages 007-015, December.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ENE: Energy Economics (2) 2006-11-25 2008-07-30
  2. NEP-ECM: Econometrics (1) 2007-07-20
  3. NEP-EEC: European Economics (1) 2006-11-25
  4. NEP-ENV: Environmental Economics (1) 2006-11-25
  5. NEP-ETS: Econometric Time Series (1) 2005-11-19
  6. NEP-FIN: Finance (1) 2005-11-19
  7. NEP-ICT: Information and Communication Technologies (1) 2007-07-20

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