The regime switching models are particularly popular in the comity of non-linear models; it is of interest to investigate regime switching models with GARCH specification. GARCH model was augmented with STAR model vis-a vis Exponential autoregressive GARCH (EAR-GARCH), Exponential smooth...

This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt four indexes of speculation: Working's T, the market share of non-commercial traders, the percentage of net long speculators over total open interest in future markets, which...

This paper studies the effects of ECB communications about unconventional monetary policy operations on the perceived sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and classified with respect to the specific ECB...