studied the returns of prices practiced in these markets, focusing on the transmission of shocks between oil prices and carbon … credit prices. The methodological approach used financial econometrics to study these variables' risk and return … long-term interaction between these variables. The volatility models show a significant association between the …

biofuels and other economic and financial factors on daily returns of a group of commodity futures prices using Generalized … complex of drivers are relevant in explaining commodity futures returns; more precisely, the Standard and Poorś (S&P) 500 … positively affects commodity markets, while the US/Euro exchange rate brings about a decline in commodity returns. It turns out …

biofuels and other economic and financial factors on daily returns of a group of commodity futures prices using Generalized … complex of drivers are relevant in explaining commodity futures returns; more precisely, the Standard and Poor's (S&P) 500 … positively affects commodity markets, while the US/Euro exchange rate brings about a decline in commodity returns. It turns out …

volatility contagion. This suggests that investors believe that equity returns will be more highly correlated across countries …This paper proposes a novel approach to assessing volatility contagion across equity markets. I decompose the variance … risk premia of three major stock indices into: crash and non-crash risk components and analyse their cross …

is hedged. Hedging strategies of currency risk, using exchange rates futures and driven by several multivariate GARCH …This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging …, British and US assets. We analyze the impact of the model specification to improve the risk-return tradeoff when currency risk …

as statistically significant, volatility reductions from the proposed hedging strategies, compared to existing benchmarks …, without sacrificing returns. As a result, a risk-averse investor is shown to be willing to pay several hundred basis points to …This paper proposes a model for discrete-time hedging based on continuous-time movements in portfolio and foreign …

We employ several copula functions to capture conditional and tail dependence during periods of extreme volatility and … variations in volatility, provoke accelerated decreases and function as a barometer of shipping market fluctuations …

findings reveal over 20 statistically significant historical events that triggered abrupt and enduring increases in volatility … volatility connectedness include their negativity, unexpected nature, and the introduction of concerns about oil supply shortages. …

introduce a definition of geopolitical risk which is based on volatility shocks to a wide range of financial market prices. To … measure geopolitical risk, we propose a statistical model for the magnitude of the common volatility shocks. Accordingly, a … innovations to volatilities are correlated across assets and therefore can be used to measure and hedge geopolitical risk. We …

) approach to evaluating the hedging effectiveness of clean energy stocks. The out-of-sample forecast evaluations of the oil risk … Brent volatility) and climate risk (climate policy uncertainty and energy and environmental regulation) as predictors. It …-based and climate risk-based clean energy predictive models are explored using Clark and West's model (2007) and a modified …