The Madden–Julian Oscillation (MJO), as a key driver of global weather and climate anomalies, is an important source of subseasonal predictability. However, most climate models still struggle to ...
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 ...
The stochastic root-finding problem is that of finding a zero of a vector-valued function known only through a stochastic simulation. The simulation-optimization problem is that of locating a ...
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