Weather derivatives have become very popular tools in weather risk management in recent years. One of the elements supporting their diffusion has been the increase in volatility observed on many energy markets. Among the several available contracts, Quanto options are now becoming very popular...

The main interest of the wind speed modelling is on the short-term forecast of wind speed intensity and direction. Recently, its relationship with electricity production by wind farms has been studied. In fact, electricity producers are interested in long-range forecasts and simulation of wind...

Using Spanish stock market data, this paper examines volatility spillovers between large and small firms and their impact on expected returns. By using a conditional capital asset pricing model (CAPM) with an asymmetric multivariate GARCH-M covariance structure, it is shown that there exist...

The objective of this study is to analyse volatility transmission between the US and Eurozone stock markets considering the financial market responses to the September 11, March 11 and July 7 terrorist attacks. In order to do this, we use a multivariate GARCH model and take into account the...

The financial economics literature proposes dozens of performance measures to be used, for instance, to compare, analyse, rank and select assets. There is thus a problem: which measures should be considered? We extend the current literature by comparing a large set of performance measures over...

This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression and Bayesian quantile regression with heteroskedasticity) we show that...

We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an international equity portfolio. According to the risk...

The intercept of standard Single Index and Conditional Single Index models, the so-called alpha, is often used to evaluate the long-run performance of managed portfolios. However, this measure is not always appropriate for detecting the presence and impact of active management strategies. Based...

We propose a generalization of the Dynamic Conditional Correlation multivariate GARCH model of Engle [R.F. Engle, Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models, Journal of Business and Economic Statistics 20...