This article questions the empirical usefulness of leverage effects to describe the dynamics of equity returns. Using a recursive estimation scheme that accurately disentangles the asymmetry coming from the conditional distribution of returns and the asymmetry that is related to the past return...

The PIRANDELLO model, currently under development by Cofiroute, is among the first significant French attempts to develop an operational land-use transport interaction (LUTI) model. It provides an easily understandable but theoretically sturdy framework to analyze and communicate on...

The aim of this paper is to identify the fundamental factors that drive the allowances market and to built an APT-like model in order to provide accurate forecasts for CO2. We show that historic dependency patterns emphasis energy, natural gas, oil, coal and equity indexes as major factors...