Many structural break and regime-switching models have been used with macroeconomic and financial data. In this paper, we develop an extremely flexible modeling approach which can accommodate virtually any of these specifications. We build on earlier work showing the relationship between...

Many structural break and regime-switching models have been used with macroeconomic and financial data. In this paper, we develop an extremely flexible modeling approach which can accommodate virtually any of these specifications. We build on earlier work showing the relationship between...

This article analyses long-term dynamic hedging strategies relying on term structure models of commodity prices and proposes a new way to calibrate the models which takes into account the error associated with the hedge ratios. Different strategies, with maturities up to seven years, are tested...

In this article we present a continuous time model for natural gas and crude oil future prices. Its main feature is the possibility to link both energies in the long term and in the short term. For each energy, the future returns are represented as the sum of volatility functions driven by...

This article examines the volatility dependence between the crude oil price and four US dollar exchange rates using both fractional cointegration and copula techniques. The former exploits the long memory behavior of the volatility processes to investigate whether they are tied through a common...

In the light of the economically rational expectation theory, this article shows how an expert chooses an optimal oil price forecast function given that information is costly. In this framework we propose an expectational process which nests all processes considered in the literature. By...

The paper deals with the diffusion of GHG mitigation technologies in developing countries. We develop a model where an abatement technology is progressively adopted by firms and we use it to compare the Clean Development Mechanism (CDM) with a standard Cap and Trade scheme (C&T). In the presence...

The main objective of this paper is to assess the Bonn-Marrakech agreement, in terms of abatement cost and emission trading as compared with the initial agreement reached in Kyoto (the Kyoto Protocol).