Recently, several institutions have increased their forecast horizons, and many institutions rely on their past forecast errors to estimate measures of forecast uncertainty. This work addresses the question how the latter estimation can be accomplished if there are only very few errors available...

The addition of commodities to financial portfolios and resulting weight adjustments may create volatility linkages between commodity and financial markets, especially during financial crises. Also, biofuel mandates are suspected to integrate agricultural and energy markets. We calculate...

Recently, several institutions have increased their forecast horizons, and many institutions rely on their past forecast errors to estimate measures of forecast uncertainty. This work addresses the question how the latter estimation can be accomplished if there are only very few errors available...

This paper applies the Diebold and Yilmaz (2009, 2012) methodology to assess spillovers in euro area sovereign bond markets. Our analysis identifies a number of phases of interaction in those markets in recent years. We find a substantial increase in spillover between euro area sovereign bond...

Oil prices affecting production costs, inflation rates and therefore economic growth have a direct impact on stock market returns. In the last two decades sharp increases in oil prices led way to stock market collapses which were transmitted to the global economy as downturns. This paper...