This paper investigates the recent evolution of the oil price, with the objective to analyze the main drivers that during last fifteen years have led the unstable path and the volatility persistence in the international oil market. We assume that the oil price is composed by two components,...

We examine the effects of collateral provision as a potential channel between funding liquidity tensions and the scarcity of market liquidity. This channel consists in transferring the credit risk associated with refinancing operations between financial institutions to market participants that...

The study aims to extend the GARCH type volatility models to their nonlinear TAR (Tong, 1990) and STAR-based (Terasvirta, 1994) counter parts where both the conditional mean and the conditional variance processes follow TAR and STAR nonlinearity. The paper further investigates the models under...

The volatility of currency exchange rates can be considered as an useful measure of uncertainty about the economic environment of a country.The paper aims to investigate the evolution of the daily RON/EURO exchange rate between January 5th, 2009 and October 12, 2012. Several appropriate models...

This paper introduces and evaluates new models for time series count data. The Autoregressive Conditional Poisson model (ACP) makes it possible to deal with issues of discreteness, overdispersion (variance greater than the mean) and serial correlation. A fully parametric approach is taken and a...

Social responsible investment is surging in all industrial countries, despite the conventional wisdom that the inclusion of extra-.nancial criteria in the stock selection process should arm the .nancial performance of these funds. As a consequence, many papers attempted to measure the financial...

This paper provides a general framework that enables many existing inference methods for predictive accuracy to be used in applications that involve forecasts of latent target variables. Such applications include the forecasting of volatility, correlation, beta, quadratic variation, jump...

Social responsible investment is surging in all industrial countries, despite the conventional wisdom that the inclusion of extra-.nancial criteria in the stock selection process should arm the .nancial performance of these funds. As a consequence, many papers attempted to measure the .nancial...