In this paper, we aim to investigate whether investor following is a determinant of the stock

In this paper, we study and extend the optimal portfolio positioning

This paper proposes to investigate the impact of ?nancialization on energy markets (oil, gas, coal, and electricity European forward prices) during both normal times and periods of extreme ?uctuation through an original behavioral and emotional approach. With this aim, we propose a new...

This article attempts to examine whether the equity premium in the United States can be predicted from a comprehensive

The financial crisis has fueled interest in alternatives to traditional asset classes that might be less affected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of...

This paper explores the relevance of asymmetry and long memory in modeling and forecasting the

This paper evaluates the predictability of WTI light sweet crude oil futures by us- ing the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to ex- plain crude oil futures prices are also...

We consider the problem of accurate market risk modeling for agricultural commodity products over heterogeneous investment horizons using copulas and wavelet methods. Our results indicate that the degree and structure of the dependence of daily commodity returns on the three market risk factors...

his paper attempts to predict the bear conditions on the US stock market. To this aim we elaborate simple predictive regressions, static and dynamic binary choice (BCM) as well as Markov-switching models. The in- and out-of-sample prediction ability is evaluated and we compare the forecasting...

We study the conditional dependence structure between crude oil prices and U.S. dollar exchange rates using a copula-GARCH approach. Various copula functions of the elliptical, Archimedean and quadratic families are used to model the underlying dependence structure in both bearish and bullish...