The aim of this research is to examine the structural changes of European carbon futures price under the European Union Emissions Trading Scheme (EU ETS) during 2005-2012. More speci fically, by relying on the daily EU allowance (EUA) futures contract, we investigate the structural changes of...

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...

Two integrated financial markets are generally subjected to common shocks revealing that commonalities in funda- mentals drive the underlying return processes. In such a case, volatilities should share a long-run component although their transitory

The aim of this paper is to study the degree of interdependence between oil price and stock market index into two groups of countries: oil-importer countries and exporter ones. To this end, we propose a new empirical methodology allowing a time-varying dynamic correlation measure between the...

This paper assesses the impact of oil prices on economic growth of the four major OPEC countries (United Arab Emirates, Kuwait, Saudi Arabia and Venezuela) over the period spanning from 03/09/2000 to 03/12/2010. We aim at complementing the results from existing analyses (mainly focused on...

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...

We use a regime-switching model approach to investigate the dynamic linkages between the exchange rates and stock market returns for the BRICS countries (Brazil, Russia, India, China and South Africa). The univariate analysis indicates that stock returns

In this paper we examine the degree of interdependence between oil prices and four major countries (United

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...

The aim of this paper is to study the degree of interdependence between oil price and stock market