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Meeting carbon-reduction targets will require thorough consideration of climate variability and climate change due to the increasing share of climate-sensitive renewable energy sources (RES). One of the main concerns arises from situations of low renewable production and high demand, which can hinder the power system. We analysed energy droughts, defined as periods of low energy production (wind plus solar generation) or high residual load (demand minus production), in terms of two main properties: duration and severity. We estimated the joint return periods associated with energy droughts of residual load and power production. We showed that moderate winter energy droughts of both low renewable production and high residual load occur every half a year, while summer events occur every 3.6 and 2.4 years (on average). As expected, the occurrence of energy droughts tends to decrease with the degree of the severity of the energy drought, and moderate and extreme energy droughts showed longer return periods for most countries. In general, we found a large variability across Europe in summer, with some countries (e.g. Italy) being more sensitive to energy droughts. Our results highlight the relevance of sharing RES during prolonged periods of low production and high demand. • European countries are frequently exposed to moderate winter energy droughts. • Copulas model the dependence between the duration and the severity of energy droughts. • Energy droughts are more frequent and longer lasting in winter than in summer. • Joint return periods increase with the degree of the severity of the energy droughts. [ABSTRACT FROM AUTHOR]

We identify the network structure of spillovers and time-varying spillover intensities across European sovereign credit markets proposing a novel Copula-Granger causality based structural vector auto-regressive (SVAR) approach. Via the proposed framework, we examine the topological and time-varying spillover and contagion between 13 European credit markets, which is found to be consistent with crisis events. The heterogeneity in directional impacts could be useful in revealing contagion effects across the credit markets. We also find that newly proposed surprise and uncertainty indexes, among other macro-economic variables, significantly explain the spillover dynamics. [ABSTRACT FROM AUTHOR]

This paper investigates the dependence between electricity spot markets at the heart of Europe including France, Germany, Austria and Switzerland based on copula models. Ten different copulas with both time invariant and varying parameters are considered. The empirical results show that time-varying Student-t copula is the best model to fit the sample data. The positive of upper and lower dependence indicates that spot electricity prices in France, Germany/Austria and Switzerland tend to move in the same direction. Also, the results indicate that the dependence between European electricity markets is time-varying and asymmetric, which means that traditional models such as Pearson’s correlation are inappropriate to measure the correlations between these markets. [ABSTRACT FROM AUTHOR]

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In this study we implement a flexible model to assess both the strength and the pattern of sovereign risk dependence between several European countries with emerging economies. We employ a market risk approach to analyzing sovereign risk and provide a synoptic interpretation of the results facilitating a better understanding of the interconnectedness of sovereign risk. We conclude that sovereign risk is not a country specific type of risk but rather a reflection of both internal factors and macroeconomic forces external to the country. [ABSTRACT FROM AUTHOR]

Droughts are an inevitable consequence of climate variability and are pervasive across many regions. Their effects can vary on an extensive scale, depending on the type of drought and people's vulnerability. Crucial characteristics of both hydrological (groundwater, streamflow) and meteorological (precipitation) droughts are related to their durations and severities, and these characteristics are typically correlated. While many studies have addressed the dependencies between these characteristics for either the meteorological or hydrological drought, the cross-dependence between meteorological and hydrological drought characteristics is barely investigated. The development of meteorological drought characteristics to hydrological drought characteristics is often hard to model and their connection is not definitively established. In order to better understand and explain this relationship, this study seeks to apply statistical tools and models. Drought characteristics data from areas in Europe with different climates are analysed. Two approaches of identifying related meteorological and hydrological drought are explored and compared. Classical linear correlation techniques do not provide promising results, indicating that any statistic of a hydrological drought is not a straightforward function of a preceding meteorological drought. Subsequently, the application of the concept of copulas to explore this dependence between meteorological and hydrological drought characteristics is investigated. The more comprehensive approach of copulas shows that the meteorological drought contains probability information of the successive hydrological drought. Editor Z.W. Kundzewicz Citation Wong, G., van Lanen, H.A.J., and Torfs, P.J.J.F., 2013. Probabilistic analysis of hydrological drought characteristics using meteorological drought. Hydrological Sciences Journal, 58 (2), 253–270. [ABSTRACT FROM AUTHOR]

A method is proposed for defining and investigating spatial contagion between two financial markets X and Y by using the information contained in their copula. A practical illustration of the introduced method is also given by examining the presence of contagion among two European stock indices (namely, FTSE 100 and DAX). Copyright © 2009 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR]