We present a generalisation of the double long memory ARFIMA-FIGARCH model introducing time-varying memory coefficients for both mean and variance. The model satisfies the empirical evidence of changing memory observed in average temperature series and can provide useful improvements in the...

This paper proposes structured parametrizations for multivariate volatility models, which use spatial weight matrices induced by economic proximity. These structured specifications aim at solving the curse of dimensionality problem, which limits feasibility of model-estimation to small...

DAMGARCH extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances. DAMGARCH models the shocks affecting the conditional variances on the basis of an underlying multivariate distribution....

In the paper we study the convergence of prices in the electricity markets, both at the day-ahead level and for the dispatching services (such as balancing and reserves). We introduce two concepts of price convergence, the convergence of zonal prices within each market (within convergence), and...

This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression and Bayesian quantile regression with heteroskedasticity) we show that...

We investigate how individual equity prices react to stock specific expected jump components. We find that a portfolio buying stocks with negative expected jump component and selling stocks with positive expected jump component earns significant returns, equal to 51 basis points per month.The...

In this paper, we analyze the Chinese economic growth model post-2008 and more notably the effect of 4 Trillion Yuan stimulus in the aftermath of the Global Financial Crisis. We look at the Chinese financial system and the credit creation mechanism in the economy. The data shows that post-2008...

The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short-term predictability in stock returns, is correlated with sudden spikes of the variance risk premium, and determines a persistent increase (decrease) of stock variances and...