This study introduces the dynamic Gerber model (DGC) and evaluates its performance in the prediction of Value at Risk (VaR) and Expected Shortfall (ES) compared to alternative parametric, non-parametric and semi-parametric methods for estimating the covariance matrix of returns. Based on ES...

The inflation surge in recent years is having profound social, economic, and political consequences. In particular, food price increases strongly affect low-income segments of the population. What makes this period so unusual is the breadth of price pressures that are affecting both low and...

The paper examines episodes of current account adjustment in individual economies. A central finding is that these episodes are very divergent and can be usefully classified, on the basis of cluster analysis, in three groups. A majority of cases is characterised by internal adjustment,...

Biofuels production has experienced rapid growth worldwide as one of several strategies to promote green energy economies. Indeed, climate change mitigation and energy security have been frequent rationales behind biofuel policies, but biofuels production could generate negative impacts, such as...

The role of futures markets in stabilizing spot prices has been extensively discussed. Nevertheless, the ability of these markets to achieve the stabilizing function significantly depends on whether they are "efficient" in the sense that futures prices "fully reflect" the available information....

This paper shows how the Dutch Disease has affected the Russian economy since the start of the transition in the early 1990s. Four symptoms have been detected, namely: 1) a real exchange rate appreciation, 2) a temporary improved economic situation, 3) an output decline in the...

The present study examines the dynamics and regulatory regimes of commodity derivatives markets through time. The historical perspective allows to identify the reasons behind the use of derivatives and the impact of changing rules on financial systems. It further permits to highlight the...