This study examines the risk spillovers between energy futures prices and Europe-based carbon futures contracts. We use a Markov regime-switching dynamic correlation, generalized autoregressive conditional heteroscedasticity (MSDCC- GARCH) model in order to capture the time variations and...

This article investigates the dynamics of regional financial integration and its determinants in an international setting. We test a conditional version of the international capital asset pricing model (ICAPM) accounting for the deviations from purchasing power parity (PPP) as well as temporal...

Over recent years, several emerging market regions have actively taken part in globalisation movements and world market integration. However, the financial integration processes appear to vary over time, and differ considerably from one region to another. This paper investigates intraregional...

We estimate and test the conditional version of an international capital asset pricing model using a parsimonious multivariate GARCH process and the multivariate nonlinear least squares method. Since our approaches are fully parametric, we can recover a

This paper employs a conditional version of the International Capital Asset Pricing Model (ICAPM) to investigate the determinants of regional integration of stock markets in the Latin America over the period 1996-2008. This model allows for three sources of time-varying risks: common regional...

This paper focuses on the impact of China’s export expansion on Malaysian monthly trading with to her 12 major trading partners over the liberalization era. Structural break(s) found mostly coincides with the Asia financial crisis and China’s accession into WTO and, regime shifts are evident...

We empirically reinvestigate the issue of excess comovement of commodity prices initially raised in Pindyck and Rotemberg (1990) and show that excess comovement, when it exists, can be related to hedging pressure and speculative intensity in commodity futures markets. Excess comovement appears...

This paper proposes a new class of semiparametric generalized long memory model with FIA- PARCH errors (SEMIGARMA-FIAPARCH model) that extends the conventionnel GARMA model to incorporate nonlinear deterministic trend, in the mean equation, and to allow for time varying volatility, in the...

As both speculative and hedging financial flows into commodity futures are expected to link commodity price formation more strongly to equity indices, we investigate whether these processes also create increased correlation amongst the commodities themselves. Considering U.S. oil and gas...

Among the most popular techniques for portfolio insurance strategies that are used nowadays, the so-called \Constant Proportion Portfolio In- surance" (CPPI) allocation simply consists in reallocating the risky part of a portfolio according to the market conditions. This general method crucially...