This paper sets out to date-stamp periods of historic oil price explosivity (or bubbles) us- ing the Generalized sup ADF (GSADF) test procedure suggested by Phillips et al. (2013). The date-stamping strategy used in this paper is effective at identifying periodically col- lapsing bubbles; a...

Forecasting the density of returns is useful for many purposes in finance, such as risk manage- ment activities, portfolio choice or derivative security pricing. Existing methods to forecast the den- sity of returns either use prices of the asset of interest or option prices on this same asset....

In this paper, we first provide empirical evidence of the existence of intraday jumps in the crude oil price series. We then show that these jumps, in conjunction with realized volatility measures, are important in modeling the convenience yield over the 2001-2010 period. Our empirical results...

Although policymakers and practitioners are particularly interested in DSGE models, these are typically too stylized to be applied directly to the data and often yield weak prediction re- sults. Very recently, hybrid DSGE models have become popular for dealing with some of the model...

Micro-founded dynamic stochastic general equilibrium (DSGE) models appear to be particularly suited for evaluating the consequences of alternative macroeconomic policies. Recently, increasing efforts have been undertaken by policymakers to use these models for forecasting, although this proved...

This article analyzes the interactions between the electricity and CO2 (carbon) markets. In particular, we describe the dynamics of the fuel-switching price (from coal to gas) when taking into account carbon costs. Several stochastic processes are considered to model the fuel-switching price:...

In this study, we apply a new recursive test proposed by Philips et al (2013) to investigate whether there exist multiple bubbles in the BRICS (Brazil, Russia, India, China and South Africa) stock markets, using monthly data on stock price-dividend ratio. Our empirical results, the first of its...

The stochastic dominance ordering over probability distributions is one of the most familiar concepts in economic and financial analysis. One difficulty with stochastic dominance is that many distributions are not ranked at all, even when arbitrarily close to other distributions that are....

We investigate the diversification benefits and optimal portfolio allocation across different US asset classes. Our results from applying the principal component analysis (PCA) show that although there is an increasing trend in market integration, five major financial markets (equities, bonds,...