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Massimo Guidolin and Manuela Pedio
In this paper, we conduct a thorough investigation of the predictive ability of forward and backward stepwise regressions and hidden Markov models for the futures returns of several commodities. The predictive performance relative a standard AR(1) benchm...
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Shengmin Tan, Xu Wang and Chuanwen Jiang
Coordination of a hydropower, combined heat and power (CHP), and battery energy storage system (BESS) with multiple renewable energy sources (RES) can effectively reduce the adverse effects of large-scale renewable energy integration in power systems. Th...
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David G. McMillan
Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield?which was previously great...
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Wendy Sidon Meira de Oliveira,André Nunes Maranhão
Pág. 569 - 603
We present in this study the results of volatility spillover in the Brazilian stock market, measured by conditional correlations. Using GARCH multivariate conditional correlations were estimated at 3 different models combining the Ibovespa index of the t...
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Nessrine Hamzaoui,Boutheina Regaieg
Pág. 1608 - 1615
This paper empirically investigates the volatility dynamics of the EUR/USD forward premium via GARCH-M (1,1) and GJR-GARCH(1,1) and GJR-GARCH(1,1)-M models. Our empirical analysis is based on daily data related to the EUR/USD forward premiums. Our daily ...
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Nessrine Hamzaoui,Boutheina Regaieg
Pág. 694 - 702
This paper empirically examines the interdependence between the foreign exchange forward premiums and the spot exchange return through a Multivariate GARCH type framework. The purpose of this study is to test the correlation sensitivity to shocks a...
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Dr. Nessrine HAMZAOUI ALOUI
Pág. 2400 - 2407
The purpose of this paper is to analyze the JPY/USD and the CAD/USD forward exchange premiums by adopting the ARCH/GARCH modeling, given its descriptive and predictive advantages. We estimate a symmetric linear model by taking into account the effect of ...
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Jorge C. Kapotas,Pedro Paulo Schirmer,Sandro Magalhães Manteiga
Pág. pp. 1 - 21
In this work we consider the pricing of a special class of volatility derivatives, the so-called variance swaps. The fair value of a variance swap is equal to the expected value of the realized variance of the underlying of the swap during the lifetime o...
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