We investigate economic and institutional determinants of ICT infrastructure for a broad cross section ofmore than 100 countries. The ICT variable is constructed from a principal components analysis. The explanatory variables are selected by variants of the Lasso estimator from the machine...

In this paper we document that realized variation measures constructed from highfrequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...

This is the first paper that estimates the global land use change impact of growth of the bioenergy sector. Applying time-series analytical mechanisms to fuel, biofuel and agricultural commodity prices and production, we estimate the long-rung relationship between energy prices, bioenergy...

This is the first paper that econometrically estimates the impact of the rising Bioenergy production on the global CO2 emissions. We apply a structural vector autoregression (SVAR) approach to time series with annual observation for the world biofuel production and global CO2 emissions from 1961...

We study the eventual structural differences of climate change leading ‘actors’ such as Northern EU countries, and ‘lagging actors’ - southern EU countries and the ‘Umbrella group’ - with regard to long run (1960-2001) carbon-income relationships. Parametric and semi parametric panel...

This paper investigates the predictability of asset prices among developed and emerging markets. Weekly and monthly stock market indices from developed and emerging market economies are analysed to check the validity of weak-form of Efficient Market Hypothesis (EMH) using various empirical...

The purpose of this paper is to investigate the performance of VaR models at measuring risk for WTI oil one-month futures returns. Risk models, ranging from industry standards such as RiskMetrics and historical simulation to conditional extreme value model, are used to calculate commodity market...

We study the eventual structural differences of climate change leading ‘actors' such as Northern EU countries, and ‘lagging actors' - southern EU countries and the ‘Umbrella group' - with regard to long run (1960-2001) carbon-income relationships. Parametric and semi parametric panel...