Venice (Italy) is built on several islands inside a lagoon. It undergoes a periodical �ooding phenomenon, called "Acqua Alta" (AA). A system of mobile dams, called Mo.S.E., is currently under construction to protect it. When needed, several fl�oodgates will be lifted to separate the lagoon...

Venice (Italy) is built on several islands inside a lagoon. It undergoes a periodical flooding phenomenon, called "Acqua Alta" (AA). A system of mobile dams, called Mo.S.E., is currently under construction to protect it. When needed, several floodgates will be lifted to separate the lagoon from...

Venice (Italy) is built on several islands inside a lagoon. It undergoes a periodical �ooding phenomenon, called "Acqua Alta" (AA). A system of mobile dams, called Mo.S.E., is currently under construction to protect it. When needed, several fl�oodgates will be lifted to separate the lagoon...

We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an international equity portfolio. According to the risk...

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of futures contracts. For this purpose, daily data of...

In modelling and forecasting volatility, two main trade-offs emerge: mathematical tractability versus economic interpretation and accuracy versus speed. The authors attempt to reconcile, at least partially, both trade-offs. The former trade-off is crucial for many financial applications,...

The hedging of weather risks has become extremely relevant in recent years, promoting the diffusion of weather derivative contracts. The pricing of such contracts require the development of appropriate models for the prediction of the underlying weather variables. Within this framework, we...

The modelling of wind speed is a traditional topic in meteorological research, where the main interest is on the short-term forecast of wind speed intensity and direction. More recently, this theme has received some interest in the quantitative finance literature for its relationship with...

We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an international equity portfolio. According to the risk...

In modelling and forecasting volatility, two main trade-offs emerge: mathematical tractability versus economic interpretation and accuracy versus speed. The authors attempt to reconcile, at least partially, both trade-offs. The former trade-off is crucial for many financial applications,...