38,651 research outputs found
Gaussian Process Conditional Copulas with Applications to Financial Time Series
The estimation of dependencies between multiple variables is a central
problem in the analysis of financial time series. A common approach is to
express these dependencies in terms of a copula function. Typically the copula
function is assumed to be constant but this may be inaccurate when there are
covariates that could have a large influence on the dependence structure of the
data. To account for this, a Bayesian framework for the estimation of
conditional copulas is proposed. In this framework the parameters of a copula
are non-linearly related to some arbitrary conditioning variables. We evaluate
the ability of our method to predict time-varying dependencies on several
equities and currencies and observe consistent performance gains compared to
static copula models and other time-varying copula methods
Energy policy and regulatory challenges in natural gas infrastructure and supply in the energy transition in Sweden
Sweden is undergoing a major energy transition in which the present regulatory, competition and energy decisions will determine future involvement in the âoil and gas gameâ after decades of successful implementation of non-fossil fuel dependence policies. Contrary to major energy policies implemented since the oil crisis of the 70âs, higher natural gas investment in infrastructure â in particular regarding offshore pipelines â is not an outcome of a consented agreement between the government and private firms. The lack of clear governmental definition towards the time to phase out nuclear terminals, and how this source of energy would be replaced, is leading the country towards an energy bottleneck that could condition future energy supply, thus governance. Under these conditions, crucial decisions shall be taken in the near future regarding granting permissions to pipelines that connect to the Russian natural gas fields following an EU trend, to the Norwegian natural gas reserves on the trail of a Nordic energy path-dependence, or to both, sharing potential benefits and risks.Energy policy; Future energy supply; Natural gas infrastructure; Energy transition; Sweden; Russian natural gas fields; Norwegian natural gas reserves; Swedish energy transition.
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