Prof. Dr. Brenda López Cabrera
JP Climate, Weather and Energy Analysis
[ Home | Teaching | Publications | Research Projects | CV | Talks | Links ]
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.
Ladislaus von Bortkiewicz Chair of Statistics
JP Climate, Weather and Energy Analysis
School of Business and Economics
Humboldt Universität zu Berlin
Unter den Linden 6
10099 Berlin, Germany