We derive the optimal hedging ratios for a portfolio of assets driven by a Cointegrated Vector Autoregressive model …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro …, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using …

volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH … the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in other …

Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that … towards volatility features of the time series. For the older electricity market of Nord Pool in Norway, it is found that a …