specifiy the conditional variances of VECM residuals with the Constant Conditional Correlation (CCC) multivariate GARCH model … of Bollerslev (1990) and the Dynamic Conditional Correlation (DCC) multivariate GARCH model of Engle (2002). The within …

. Indeed, a large share of outstanding risk capital in the cat bonds market appears to be exposed to some climate change …

effects. We also document the feature of time-varying volatility of temperature anomalies and SOI, which is well described by … an IGARCH process. By means of a new dynamic conditional correlation model (SP-DCC), we finally document the presence of … time-varying conditional correlations relating temperature anomalies across various zones and SOI. The correlation pattern …

-, three-, six-, and twelve-month futures prices, using recently developed multivariate conditional volatility models. The … shocks have a greater impact on volatility than positive shocks. In all cases, both the short- and long-run persistence of … estimate of constant conditional correlation being 0.975 between the volatilities of the three-month and six-month futures …

This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt … four indexes of speculation: Working's T, the market share of non-commercial traders, the percentage of net long …-2010 analyzed at weekly frequency. Using GARCH models we find that speculation significantly affects volatility of returns: short …

volatility of US and UK GDP growth appears to have become increasingly correlated in the recent past. …