Precise modeling and forecasting of the volatility of energy futures is vital to structuring trading strategies in spot markets for risk managers. Capturing conditional distribution, fat tails and price spikes properly is crucial to the correct measurement of risk. This paper is an attempt to...

Precise modeling and forecasting of the volatility of energy futures is vital to structuring trading strategies in spot markets for risk managers. Capturing conditional distribution, fat tails and price spikes properly is crucial to the correct measurement of risk. This paper is an attempt to...

We prove the uniqueness of linear i.i.d. representations of heavy-tailed processes whose distribution belongs to the domain of attraction of an $\alpha$-stable law, with $\alpha2$. This shows the possibility to identify nonparametrically both the sequence of two-sided moving average coefficients...

This paper is aimed at studying the optimal portfolio problem when the assets have returns from -stable distributions. The optimal portfolio contains a riskless asset and various risky assets, including structured notes. The basic statistics of the assets are calculated and both the...

Several studies have highlighted the fact that heavy-tailedness of asset returns can be the consequence of conditional heteroskedasticity. GARCH models have thus become very popular, given their ability to account for volatility clustering and, implicitly, heavy tails. However, these models...