This article investigates volatility spillovers in commodity markets by following the methodology
pioneered in Diebold and Yilmaz (2012). By using a broad data set during 1995–2012, …

This article evaluates the impact of the 2006 compliance event on changes in investors’ risk
aversion on the European carbon market using the newly available option prices dataset. …

In this paper, we provide a new dynamic asset pricing model for plain vanilla options and we
discuss its ability to produce minimum mispricing errors on equity option books. Given the …

Cross-sector volatility spillovers can both threaten the financial stability of credit markets and
the diversification of a credit bond portfolio. In this article, we measure cross-sector volatility …

As commodity markets have continued their expansion an extensive and complex financial
industry has developed to service them. This industry includes hundreds of participating firms…

This paper provides the first estimation strategy for the Wishart Affine Stochastic Correlation (WASC)
model. We provide elements showing that the use of empirical characteristic function…

In this paper, we quantify the impact on the representative agent's welfare of the presence of
derivative products spanning covariance risk. In an asset allocation framework with …

In this article, we provide statistical evidence around jumps affecting commodity returns. Using
nearly 20 years of daily data, we use Laurent, Lecourt, and Palm's (2011) methodology to …

From 2008 to 2011, commodity markets experienced growing attention from the banking
industry for various reasons: the summer 2008 oil price swing, the price surge in an ounce of …

This paper investigates the presence of the leverage effect in commodities, in comparison
with financial markets. The EGARCH model with a Mixture of Normals distribution (EGARCH-…