Prof. Dr. Brenda López Cabrera
Climate, Weather and Energy Analysis
[ Home | Teaching | Publications | Research Projects | CV | Talks | Links ]
Citations
Find more about me:
Web of Science ResearcherID: G-7599-2012
Books / Bücher
Refereed Journals / Wissenschaftliche Zeitschriften
-
Melzer, A., Härdle, W.K., López Cabrera, B. (2021). Pricing Wind Power Futures. Journal of the Royal Statistical Society: Series C. DOI 10.1111/rscc.12499
-
Shi, C., Härdle, W.K., López Cabrera, B. (2019). Regularization Approach for Network Modeling of German Power Derivative Market. Energy Economics, 83, 180-196. https://doi.org/10.1016/j.eneco.2019.06.021
-
López Cabrera, B., Schulz, F. (2017). Forecasting Generalized Quantiles of Electricity Demand: a Functional Data Approach. Journal of the American Statistical Association, 112 (217), 127-136, 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, 111 (526),1491-1508, 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.
Current Submissions & Working papers / Projektberichte
- Hu, J., López Cabrera, Melzer, A. (2021). Advanced Statistical Learning on Short Term Load Forecasting. 10.2021
- Melzer, A., Härdle, W.K., López Cabrera, B. (2019). Joint Tensor Expectile Regresion for Electricity Day-Ahead price curves. Submitted.
- Melzer, A., Härdle, W.K., López Cabrera, B. (2019). An expectile factor model for day-ahead wind power forecasting. Humboldt-Universität zu Berlin. Submitted
- Melzer, A., Härdle, W.K., López Cabrera, B. (2017). Pricing Green Financial Products. SFB 649 Discussion Paper 2017-20, Humboldt-Universität zu Berlin.
- Benschop, T. and López Cabrera, B. (2017). Realized volatility of CO2 futures. SFB 649 Discussion Paper 2017-25, Humboldt-Universität zu Berlin.
- López Cabrera, B. and Schulz, F. (2016). Time-Adaptive Probabilistic Forecast of Electricity Spot Prices with Application to Risk Management. SFB 649 Discussion Paper 2016-35, Humboldt-Universität zu Berlin. Submitted.
- 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.
- Anastasiadou, Z. and López Cabrera, B. (2011). Statistical Modelling of temperature risk. SFB 649 Discussion Paper 2012-29, Humboldt-Universität zu Berlin. Submitted.