Prof. Dr. Brenda López Cabrera

High Dimensional Nonstationary Time Series | Publications

Prof. Dr. Brenda López Cabrera

JP Climate, Weather and Energy Analysis

Books / Bücher

Borak, S., Härdle, K. H, López Cabrera, B. (2013). Statistics of Financial Markets: Exercises and Solutions. Springer Verlag, Heidelberg, 235 pages. Second edition. DOI 10.1007/978-3-642-33929-5. ISBN (Online) 978-3-642-33929-5, ISBN (Print) 978-3-642-33938-8.

Refereed Journals / Wissenschaftliche Zeitschriften

López Cabrera, B., Schulz, F. (2016). Forecasting Generalized Quantiles of Electricity Demand: a Functional Data Approach. Journal of the American Statistical Association, DOI:10.1080/01621459.2016.1219259.ISSN: 0162-1459.
Härdle, W.K., López Cabrera, B., Okhrin, O. and Wang, W. (2016). Localizing temperature risk. Journal of the American Statistical Association, DOI:10.1080/01621459.2016.1180985. ISSN: 0162-1459.
Groll, A., López Cabrera, B. and Meyer-Brandis, T. (2016). A consistent two-factor model for pricing temperature derivatives. Energy Economics, 55, 112-126. DOI:10.1016/j.eneco.2015.12.020. ISSN: 0167-6687.
López Cabrera, B. and Schulz, F. (2016). Volatility linkages between energy and agricultural commodity prices. Energy Economics, 54, 190-203. DOI :10.1016/j.eneco.2015.11.018. ISSN: 0167-6687.
Härdle, W. K., López Cabrera, B. and Teng, W. (2015). State price densities implied from Weather Derivatives. Insurance: Mathematics and Economics, 64, 106-125, DOI:10.1016/j.insmatheco.2015.05.001. ISSN: 0167-6687.
Ritter, M., Shen, Z., López Cabrera, B., Odening, M., Deckert, L. (2015): A new approach to assess wind energy potential. Energy Procedia, 75: 671–676. http://dx.doi.org/10.1016/j.egypro.2015.07.485.
Ritter, M., Shen, Z., López Cabrera, B., Odening, M., Deckert, L. (2015): Designing an Index for Assessing Wind Energy Potential. Renewable Energy, 83: 416-424. http://dx.doi.org/10.1016/j.renene.2015.04.038.
López Cabrera, B., Odening, M. and Ritter, M. (2013). Pricing Rainfall Futures at CME. Journal of Banking and Finance. 37(11), 4286-4298. DOI:http://dx.doi.org/10.1016/j.jbankfin.2013.07.042 ISSN: 0378-4266.
Anastasiadou, Z. and López Cabrera, B. (2013). On the Modelling of Temperature Dynamics for pricing weather related products. Journal of Energy Markets. 6(4), 3-24. ISSN 1756-3615
Härdle, W. K. and López Cabrera, B. (2012). The implied market price of weather risk. Applied Mathematical Finance. 19(1), 59-95. DOI: 10.1080/1350486X.2011.591170
Härdle, W. K. and López Cabrera, B. (2010). Calibrating CAT bonds for Mexican Earthquakes. Journal of Risk and Insurance. 77(3), 625-650. DOI: 10.1111/j.1539-6975.2010.01355.x
Härdle, W. K. and López Cabrera, B. (2008). Calibrating parametric CAT bonds: a case study for Mexican Earthquakes. Schmollers Jahrbuch, Journal of Applied Social Sciences Studies/Zeitschrift für Wirtschafts- und Sozialwissenschaften, 128(4), 615-630. Duncker & Humboldt Verlag, Berlin. ISSN 1439-121X
López Cabrera, B. (2003). Valuación de Bonos Catastróficos para terremotos en México (Bachelor Tesis). National Prize of the Mexican Derivative Market (1° place).

Chapter in Books / Buchkapitel

Härdle, W. K., López Cabrera, B. and Ritter, M. (2014). Forecast based Pricing of Weather Derivatives. Handbook on The Macroeconomics of Global Warming. Semmler, W. and Bernard, L. (eds). Oxford University Press. DOI:10.1093/oxfordhb/9780199856978.013.018. ISBN: 9780199856978.

Benth, F., Härdle, W.K. and López Cabrera, B. (2011). Pricing Asian temperature risk. Statistics Tools of Finance and Insurance. Civek, P., Härdle, W.K., Weron, R. (eds). 2nd. Edition. Springer Berlin Heidelberg, 163-199, DOI: 10.1007/978-3-642-18062-0_5. ISBN (Print): 978-3-642-18061-3, ISBN (Online): 978-3-642-18062-0

Submissions & Working papers / Projektberichte

Benschop, T. and López Cabrera, B. (2017). Realized volatility of CO2 futures. SFB 649 Discussion Paper 2017-25, Humboldt-Universität zu Berlin.
Melzer, A., Härdle, W.K., López Cabrera, B. (2017). Pricing Green Financial Products. SFB 649 Discussion Paper 2017-20, Humboldt-Universität zu Berlin.
Benshop, T. and López Cabrera, B. (2014). Volatility Modelling of CO2 Emission Allowance Spot Prices with Regime-Switching GARCH models. SFB 649 Discussion Paper 2014-50, Humboldt-Universität zu Berlin. Submitted.
López Cabrera, B. and Schulz, F. (2014). Forecasting Generalized Quantiles of Electricity
Demand: A Functional Data Approach. SFB 649 Discussion Paper 2014-30, Humboldt-Universität zu Berlin. Resubmitted.
Anastasiadou, Z. and López Cabrera, B. (2011). Statistical Modelling of temperature risk. SFB 649 Discussion Paper 2012-29, Humboldt-Universität zu Berlin. Submitted.
López Cabrera, B., Odening, M., Ritter, M. (2013): Pricing Rainfall Derivatives at the CME. SFB 649 Discussion Paper 2013-005, Humboldt-Universität zu Berlin.