Weather derivatives are financial instrument that allow to hedge weather risk that is the financial gain or loss due to variability in climatic conditions. The market originated in 1998 when the US power community realised that the high volatility of revenues due to weather variability could be...

Hitherto, index volatility has been modelled using the history of index returns but not the returns histories of the stocks that define the index. Theoretical models that relate volatility to the quantity of information are extended to a multi-asset setting and it is deduced that stock returns...

In this article, we derive a set of necessary and sufficient conditions for positivity of the vector conditional variance equation in multivariate GARCH models with explicit modelling of conditional correlation. These models include the constant conditional correlation GARCH model of Bollerslev...

We present a mixed frequency model for daily forecasts of euro area inflation. The model combines a monthly index of core inflation with daily data from financial markets; estimates are carried out with the MIDAS regression approach. The forecasting ability of the model in real time is compared...

In this paper, we develop a new screen to detect manipulation in commodities markets. If manipulation is occurring, not all of the relevant information is being filtered through the market, which means that the market is being quot;fooledquot; and its ability to forecast future prices is...

The disappointing performance of value and small cap strategies shows that style consistency may not provide the long-term benefits often assumed in the literature. In this study we examine whether the short-term variation in the U.S. size and value premium is predictable. We document...

Our study examines whether the short-term variation in the Japanese size and value premium is sufficiently predictable to be exploited by a timing strategy. In the spirit of Pesaran and Timmermann (1995), we employ a dynamic modeling approach in which we explicitly allow for permutations among...

This paper considers flexible conditional (regression) measures of market risk. Value-at-Risk modeling is cast in terms of the quantile regression function - the inverse of the conditional distribution function. A basic specification analysis relates its functional forms to the benchmark models...

In this paper, we examine whether the short-term variation in the size and value premium in the Japanese stock market is sufficiently predictable to be exploited by a tactical timing strategy. In the spirit of Pesaran and Timmermann (1995), we employ a dynamic modeling approach in which we...

In this paper we develop a trading strategy in which the difference in observed returns of value and growth stocks in the US stock market is exploited. In the literature this return spread is often called the quot;value premiumquot;. In our modeling process we use a procedure similar to the...