This paper explores the forecasting abilities of Markov-Switching models. Although MS models generally display a superior in-sample fit relative to linear models, the gain in prediction remains small. We confirm this result using simulated data for a wide range of specifications. In order to...

This article assesses the transmission of international shocks to EUA spot, EUA futures, and CER futures carbon prices using a broad dataset that includes 115 macroeconomic, financial and commodities indicators with daily frequency from April 4, 2008 to January 25, 2010 totalling 463...

The estimation of the jump component in asset pricing has witnessed a considerably growing body of literature. Of particular interest is the decomposition of total volatility between its continuous and jump components. Recent contributions highlight the importance of the jump component in...

The question of financing innovative small business is determinant in the current context. Giving the share that they represent in the market, they contribute to increase productivity of the economy. The problems of financing the SME’s are related to the almost intangible specificity of their...

The diversifying power of inflation-linked (IL) bonds relative to traditional asset classes has changed significantly. In this paper, we study the dynamics of conditional volatilities and correlations for three asset classes, IL bonds, nominal bonds, and equities, in the USA and Europe. Using a...

The authors examine the advantages of incorporating strategic exposure to equity volatility into the investment opportunity set of a long-term equity investor. They consider two standard volatility investments: implied volatility and volatility risk premium strategies. An analytical framework,...

This article examines how the inception of an ETF market impacts several dimensions of the liquidity of the ETF-underlying-index stocks. In contrast with previous research, our evidence is based on an ETF market where liquidity providers (LPs) act as market makers. We find that: (1) the market...

For the last two decades, authors (e.g. Ohlson, 1995; Lev, 2000, 2001) have regularly pointed out the enforcement of limitations by traditional accounting frameworks on financial reporting informativeness. Consistent with this claim, it has been then argued that accounting finds one of its major...