Dierential Models for Integrated Drought Risk Management

Dierential Geometry of Autoregressive Fractionally Integrated Moving Average Models

The di erential geometry of autoregressive fractionally integrated moving average processes is developed. Properties of Toeplitz forms associated with the spectral density functions of these long memory processes are used to compute the geometric quantities. The role of these geometric quantities on the asymptotic bias of the maximum likelihood estimates of the model parameters and on the Bartl...

A Benchmark Framework for Integrated Risk Management

A Geospatial Decision Support System for Drought Risk Management

Drought triggers and declarations: Science and policy considerations for drought risk management

This paper explores the value of triggers and declarations in the management of drought, bringing together two disciplinary perspectives, those of the public policy scholar and the climate scientist. These two perspectives highlight the complexity of the development and use of triggers in drought risk management by drawing on the experience of the United States, which has the most sophisticated...

Risk Management in Oil Market: A Comparison between Multivariate GARCH Models and Copula-based Models

H igh price volatility and the risk are the main features of commodity markets. One way to reduce this risk is to apply the hedging policy by future contracts. In this regard, in this paper, we will calculate the optimal hedging ratios for OPEC oil. In this study, besides the multivariate GARCH models, for the first time we use conditional copula models for modelling dependence struc...