This paper contains the first empirical application of the Dynamic Equicorrelation (DECO) model to a cross-market dataset composed of equities, bonds, foreign exchange rates and commodities during 1983-2013. The originality of our approach consists in examining the volatility equicorrelations,...

This article provides the first empirical application of the dynamic equicorrelation (DECO) model to a cross-market data set composed of equities, bonds, foreign exchange and commodity returns during 1983–2013. The results reveal that the average cross-market equicorrelation is around 47%,...

This paper examines empirically whether nonlinearities play a significant role in the modeling of the carbon price. We highlight the limits of previous carbon markets analyses based essentially on a linear econometric framework. Instead, we propose to revisit the main results on carbon pricing...

This paper fulfills the lack of option pricing empirical studies devoted to the French market and is also the first paper that brings a comparison between the Heston (1993) closed-form solution model and the Hull and White (1988) model, built in a series expansion form. The empirical study is...

This article proposes a new empirical methodology for computing a cross-market volatility index - coined CMIX - based on the Factor-Dynamic Conditional Correlation (DCC) model, implemented on volatility surprises. This approach solves problems in treating high-dimensional data and estimating...

Asymmetric volatility in equity markets has been widely documented in finance, where two competing explanations, as considered in Bekaert and Wu (2000), are the financial leverage and the volatility feedback hypothesis. We explicitly test for the role of both hypotheses in explaining extreme...

Asymmetric volatility in equity markets has been widely documented in finance, where two competing explanations, as considered in Bekaert and Wu (2000), are the financial leverage and the volatility feedback hypothesis. We explicitly test for the role of both hypotheses in explaining extreme...

This article assesses the cross-market linkages between commodities, stocks and bonds in a cointegration framework during 1993–2011

This article investigates volatility spillovers in commodity markets by following the methodology pioneered in Diebold and Yilmaz (2012). By using a broad data set during 1995–2012, we address three key research questions: are there volatility spillovers within commodities? between standard...

This article investigates momentum strategies in commodity markets. Using a Markov-switching model and formal tests for the number of regimes in the data, we identify momentum trends for a variety of commodities, exchange rates, interest rates and equities. The data cover the period 1995–2012...