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Cross-Market Spillovers with 'Volatility Surprise'
Aboura, Sofiane; Chevallier, Julien - HAL - 2014
This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of 'volatility surprise' to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect...
Persistent link: https://www.econbiz.de/10010821166
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Energy Risk Management with Carbon Assets
Chevallier, Julien - HAL - 2009
This article proposes a mean-variance optimization and portfolio frontier analysis of energy risk management with carbon assets, introduced in January 2005 as part of the EU Emissions Trading Scheme. In a stylized exercise, we compute returns, standard deviations and correlations for various...
Persistent link: https://www.econbiz.de/10008793949
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The Effects of Convergence in Governance on Capital Accumulation in the Black Sea Economic Cooperation Countries
Veganzones, Marie-Ange; Aysan, Ahmet Faruk; Baykal, … - HAL - 2011
This paper aims to ascertain the effects of convergence in governance on investment decisions among a sample of 43 … governance are considered to be areas of higher investment, as a result of further integration and collaborative action among … process and, to a large extent, this is about institutional transformation. Good governance institutions are an assurance to …
Persistent link: https://www.econbiz.de/10008804713
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Governance and Private Investment in the Middle East and North Africa
Aysan, Ahmet Faruk; Nabli, M.-K.; Veganzones, Marie-Ange - HAL - 2011
, with special emphasis on the role of governance. Based on the existing literature, we have categorized what types of … governance institutions are more detrimental to entrepreneurial investments. We have then estimated a simultaneous model of … private investment and governance quality where economic policies concurrently explain both variables. Our empirical results …
Persistent link: https://www.econbiz.de/10008805118