The modeling of wind speed is a traditional topic in meteorological researches 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 relations with the...

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 present a rational learner agent, which considers the information coming from a behavioral counterpart during the allocation process. The learner agent adopts a herding behaviour by conditioning her choice on the selection of the portfolio's constituents. The considered framework has...

We present a generalisation of the double long memory ARFIMA-FIGARCH model introducing time-varying memory coefficients for both mean and variance. The model satisfies the empirical evidence of changing memory observed in average temperature series and can provide useful improvements in the...

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 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...

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...

This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ΔcoVaR for those institutions and thereby observe the presence of elevated increases in the levels corresponding to the subprime and...

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...