The energy sector is one of the most important in the world, so that time series fluctuations in leading energy sources have been analysed widely. As the leading energy commodities are traded on international stock exchanges, the analysis of the fluctuations in stock and financial derivatives...

The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the...

Causality is a widely-used concept in theoretical and empirical economics. The recent financial economics literature has used Granger causality to detect the presence of contemporaneous links between financial institutions and, in turn, to obtain a network structure. Subsequent studies combined...

The OGARCH specification is the leading model for a class of multivariate GARCH (MGARCH) models that are based on linear combinations of univariate GARCH specifications. Most MGARCH models in this class adopt a spectral decomposition of the covariance matrix, allowing for heteroskedasticity on...

Causality is a widely-used concept in theoretical and empirical economics. The recent financial economics literature has used Granger causality to detect the presence of contemporaneous links between financial institutions and, in turn, to obtain a network structure. Subsequent studies combined...

It is well-known that the estimated GARCH dynamics exhibit common patterns. Starting from this fact we extend the Dynamic Conditional Correlation (DCC) model by allowing for a clustering structure of the univariate GARCH parameters. The model can be estimated in two steps, the first devoted to...

The recent financial crisis had a substantial impact on equity and bond markets, as well as on the performances of managed portfolios which have been hit by the decrease of both indices. Nevertheless, the availability of indices monitoring the equity market volatility, the VIX index, credit...

The financial econometrics literature includes several multivariate GARCH models where the model parameter matrices depend on a clustering of financial assets. Those classes might be defined a priori or data-driven. When the latter approach is followed, one method for deriving asset groups is...

This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...