This paper takes full advantage of daily quoted prices of microfinance stocks from their issuance, and draws a global picture of worldwide microfinance equity from the viewpoint of a profit-oriented investor. We construct microfinance country equity indices and an international global...

A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with several portfolios (or subsidiaries), representing both liabilities and assets, it is proved that the model has...

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,...

It is common to assert, in the literature on commodity derivative markets, that the behavior of futures prices is characterized by the "Samuelson Hypothesis": there is a decreasing pattern of volatilities along the prices curve. Despite some debates about statistical measurements, this...

We reinvestigate the issue of excess comovements of commodity prices initially raised in Pindyck and Rotemberg (1990). While Pindyck and Rotemberg and following contributions consider this issue using an arbitrary set of control variables, we develop our analysis using recent development in...

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...

We proceed to an impulse-response analysis on the conditional correlations between three stock indices returns: the S&P 500, the ftse 100 and the Nikkei 225. As a first step, a general asymmetric dynamic conditional correlation (ga-dcc) model proposed by Cappiello, Engle and Sheppard [2006] is...

This study extends the traditional set of central bank's interventions to include official announcements in order to provide empirical evidence on two pivotal questions: (i) are FX authorities able to influence market expectations with different instruments? (ii) how should interventions be...

We proceed to an impulse response analysis on the conditional correlations between three stock indices returns: the Nikkei, the FTSE 100 and the S&P 500. As a first step, we estimate an extension of the general asymmetric dynamic conditional correlation (GADCC) model proposed by Cappiello,...

We investigate the macro factors that can explain the monthly oil futures return for the NYMEX WTI futures contract for the time period 1993:11 to 2010:03. We build a new database of 187 real and nominal macroeconomic variables from developed and emerging countries and resort to the large factor...