As both speculative and hedging financial flows into commodity futures are expected to link commodity price formation more strongly to equity indices, we investigate whether these processes also create increased correlation amongst the commodities themselves. Considering U.S. oil and gas...

Abstract. We investigate the macro factors that can explain the monthly oil futures return for the NYMEX WTI futures contract for the time period 1993:11 to 2010:03. We build a new database of 187 real and nominal macroeconomic variables from developed and emerging countries and resort to the...

We proceed to an impulse-response analysis on the conditional correlations between three stock indices returns: the S&P 500, the ftse 100 and the Nikkei 225. As a first step, a general asymmetric dynamic conditional correlation (ga-dcc) model proposed by Cappiello, Engle and Sheppard [2006] is...

[eng] Periods for european convergence. Real convergence of european economies is disputed in recent studies which suggest an opposition between real and nominal convergence. This paper enlarges the perspective and considers real convergence over différents periods covering twelve decades....

To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006 after regulatory authorization. The central question we address is: can we identify a potential destabilizing effect of the...

To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006 after regulatory authorization. The central question we address is: can we identify a potential destabilizing effect of the...

We empirically reinvestigate the issue of excess comovement of commodity prices initially raised in Pindyck and Rotemberg (1990) and show that excess comovement, when it exists, can be related to hedging and speculative pressure in commodity futures markets. Excess comovement appears when...

This paper compares three schemes for funding Universal Service Obligations in network industries with an essential facility: an uplift to the network access charge, the establishment of a Universal Service (US) fund financed through a lump-sum tax and a US fund financed through a unit tax. The...

Cross hedging is a way to improve statistical hedge results because of markets'incompletion. In this framework, several markets instead of just one market, are used to increase the hedger’s financial possibilities. In the Anderson-Danthine model (1981), the optimal hedge in the multivariate...