Energy price volatilities and correlations have been modeled extensively using short-memory multivariate GARCH models. This paper investigates the potential benefits from using multivariate fractionally integrated GARCH models from a forecasting and a risk management perspective. Several...

We propose a novel approach to modelling structural changes in asset returns correlations. Our framework allows for breaks of different type in the conditional and unconditional correlation components by capturing abrupt regime switches in the short-run correlations and smooth transitions...

This paper investigates the behaviour of the pooled ols estimator in a panel model with stationary and nonstationary regressores as both N amd T go to infinity. the nonstationary regressor is assumed I(1) ,the stationary regressor is set i.i.d.The investigation is carried through four Monte...

We propose a model diagnostic device to compare different linear and non linear parametric time series models of real GDP business cycle.The comparison appears of remarkable economic importance since different models have very different implications in term of long run persistence of negative...

This article proposes a novel approach to modelling structural changes in asset returns correlations and their relationship to macroeconomic fundamentals. We introduce a new correlation component model, the Regime-switching DCC-MIDAS, that incorporates breaks of different type in the conditional...

Consolidation in the banking industry has caused concern about the survival of small banks. However, empirical evidence shows that often small banks are performing better than larger banks in terms of loan growth and profitability. This paper addresses the main question of quot;how David can be...