We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show that the total connectedness increased over time, likely due to the increasing financialization of energy commodities. It fluctuates with respect to (i) different investment...

We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show that the total connectedness increased over time, likely due to the increasing financialization of energy commodities. It fluctuates with respect to (i) different investment...

This paper seeks to investigate the connectivity of the US economy through the dynamics of the transmission of volatility in sectoral indices. For this, we use daily asset data and two methodologies. The first creates a spillover index that measures market connectivity and the second partitions...

We find that the outperformance for Fama-French factors compared to macroeconomic factors in terms of fitting the cross-section of expected returns disappears when accounting for horizon effects. In addition, we obtain novel empirical relations between macroeconomic factors and Fama-French...

Accepting non-linearities as an endemic feature of financial data, this paper re-examines Cochrane"s "new fact in finance" hypothesis (Cochrane, Economic Perspectives-FRB of Chicago 23, 36–58, 1999). By implementing two methods, frequently encountered in digital signal processing analysis,...

This paper proposes a procedure to investigate the nature and persistence of the forces governing the yield curve and to use the extracted information for forecasting purposes. The latent factors of a model of the Nelson-Siegel type are directly linked to the maturity of the yields through the...

This paper proposes a procedure to investigate the nature and persistence of the forces governing the yield curve and to use the extracted information for forecasting purposes. The latent factors of a model of the Nelson-Siegel type are directly linked to the maturity of the yields through the...