Journal of Hydrometeorology, Vol. 17, No. 6 (June 2016), pp. 1869-1883 (15 pages) ABSTRACT Classical regression models are widely used in hydrological regional frequency analysis (RFA) in order to ...

We study censored quantile regression with covariates measured with errors. We propose a composite quantile objective function based on inverse censoring-probability weighting, and an averaging ...

This paper examines a set of value-at-risk (VaR) models and their ability to appropriately describe and capture price-change risk in the European energy market. We make in-sample, one-day-ahead VaR ...

Abstract: The volatility and uncertainty of electricity prices due to renewable energy sources create challenges for electricity trading, necessitating reliable probabilistic electricity-price ...

Commodities constitute a nonhomogeneous asset class. Return distributions differ widely across different commodities, both in terms of tail fatness and skewness. These are features that we need to ...