This paper makes use of spot and futures market data to carry out a thorough analysis of the dynamics of carbon price returns in the EU ETS for the whole first commitment period from 2008 to 2012. Understanding the properties of carbon price returns is especially crucial for industries which...

This paper examines the process of relative food price volatility and investigates how short-run deviations from the relationship between relative food prices and particular macroeconomic fundamentals affect this volatility for the case of Greece. The methodology followed in this paper to...

In this paper we propose a model for monthly inflation with stochastic trend, seasonal and transitory components with QGARCH disturbances. This model distinguishes whether the long-run or short-run components are heteroscedastic. Furthermore, the uncertainty associated with these components may...

Using data on international, on-line media coverage and tone of the Brexit referendum, we test whether it is media coverage or tone to provide the largest forecasting performance improvements in the prediction of the conditional variance of weekly FTSE 100 stock returns. We find that versions of...