Brenda López Cabrera

Humboldt University of Berlin

Unter den Linden 6

Berlin, AK Berlin 10099

Germany

SCHOLARLY PAPERS

10

DOWNLOADS

235

SSRN CITATIONS
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Scholarly Papers (10)

1.

Pricing Green Financial Products

SFB 649 Discussion Paper No. 2017-020
Number of pages: 29 Posted: 25 Aug 2017
Awdesch Melzer, Wolfgang K. Härdle and Brenda López Cabrera
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 47 (399,015)

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Market Price of Risk, Risk Premium, Renewable Energy, Wind Power Futures, Stochastic Process, Expectile, CARMA, Jump, Lévy, Transform, Logit-Normal, Extreme

2.

Forecast Based Pricing of Weather Derivatives

SFB 649 Discussion Paper 2012-027
Number of pages: 25 Posted: 07 Jan 2017
Wolfgang K. Härdle, Brenda López Cabrera and Matthias Ritter
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and Humboldt-Universität zu Berlin - Department of Agricultural Economics
Downloads 42 (417,310)
Citation 1

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weather derivatives, seasonal variation, temperature, risk premia

3.

Implied Market Price of Weather Risk

SFB 649 Discussion Paper 2009-001
Number of pages: 35 Posted: 09 Jan 2017
Wolfgang K. Härdle and Brenda López Cabrera
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 26 (488,462)
Citation 9

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weather derivatives, weather risk, weather forecasting, seasonality, continuous autoregressive model, stochastic variance, CAT index, CDD index, HDD index, market price of risk, risk premium, CME

4.

Pricing of Asian Temperature Risk

SFB 649 Discussion Paper 2009-046
Number of pages: 34 Posted: 11 Dec 2017
Fred Espen Benth, Wolfgang K. Härdle and Brenda López Cabrera
University of Oslo, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 25 (493,907)
Citation 2

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Weather Derivatives, Continuous Autoregressive Model, CAT, CDD, HDD, Risk Premium

5.

An Expectile Factor Model for Day-ahead Wind Power Forecasting

Number of pages: 31 Posted: 18 Apr 2019
Awdesch Melzer, Wolfgang K. Härdle and Brenda López Cabrera
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 24 (499,563)

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forecast, renewable energy, wind power, factor model, penalisation, functional data analysis, expectile, multivariate regression, short-term, Markov switching, cluster

6.

Regularization Approach for Network Modeling of German Energy Market

IRTG 1792 Discussion Paper 2018-017
Number of pages: 37 Posted: 30 Jul 2018
Shi Chen, Wolfgang K. Härdle and Brenda López Cabrera
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 18 (534,443)

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Regularization, Energy Risk Transmission, Network, German Energy Market

7.

State Price Densities Implied from Weather Derivatives

SFB 649 Discussion Paper 2013-026
Number of pages: 35 Posted: 06 May 2016
Wolfgang K. Härdle, Brenda López Cabrera and Huei-Wen Teng
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and National Central University at Taiwan
Downloads 18 (534,443)
Citation 1

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Weather derivatives, temperature derivatives, HDD, CDD, SPD, mixture

8.

Localising Temperature Risk

SFB 649 Discussion Paper 2011-001
Number of pages: 31 Posted: 09 Jan 2017
Wolfgang K. Härdle, Brenda López Cabrera, Ostap Okhrin and Weining Wang
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin, Humboldt University of Berlin - School of Business and Economics and Humboldt University of Berlin
Downloads 17 (540,348)

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weather derivatives, localising temperature residuals, seasonality, local model selection

9.

Joint Tensor Expectile Regression for Electricity Day-Ahead Price Curves

Number of pages: 38 Posted: 03 May 2019
Awdesch Melzer, Wolfgang K. Härdle and Brenda López Cabrera
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 16 (546,202)

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forecast, electricity day-ahead prices, trust region method, factor model, penalisation, functional data analysis, expectile, multivariate tensor regression, vector autoregression

10.
Downloads 2 (640,605)
Citation 9

Calibrating CAT Bonds for Mexican Earthquakes

Journal of Risk and Insurance, Vol. 77, Issue 3, pp. 625-650, September 2010
Number of pages: 26 Posted: 04 Aug 2010
Wolfgang K. Härdle and Brenda López Cabrera
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 2 (671,142)
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Calibrating Cat Bonds for Mexican Earthquakes

Journal of Risk and Insurance, Vol. 77, Issue 3, pp. 625-650, 2010
Number of pages: 26 Posted: 08 Mar 2018
Wolfgang K. Härdle and Brenda López Cabrera
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
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Citation 1
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