years. The diversification benefits implied by our empirical model are, moreover, strongly varied over time. These findings …Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new … capture and forecast the conditional time-varying joint distribution of the oil-stocks pair accurately. Our realized GARCH …

time. Many studies find that the expected returns have time-varying components that are partially predictable, and … considerable effort has been devoted to the modelling of time-varying volatility. Recent attention has moved to examining the … over time incorporating a Gibbs sampling to estimate posterior returns.Our empirical research captures most of the …

years. The diversification benefits implied by our empirical model are, moreover, strongly varied over time. These findings …Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new … capture and forecast the conditional time-varying joint distribution of the oil -- stocks pair accurately. Our realized GARCH …

Pricing -Discrete Time Approach- is to provide a systematic exposition, with practical applications, of the no …-arbitrage theory for asset pricing in financial engineering in the framework of a discrete time approach. Useful as a textbook on …