We consider multivariate stationary processes (Xt) satisfying a stochastic recurrence equation of the form Xt=𝕄tXt−1+Qt, where (Qt) are i.i.d. random vectors and 𝕄t=Diag(b1+c1Mt,…,bd+cdMt) are i.i.d. diagonal matrices and (Mt) are i.i.d. random variables. We obtain a full...

In this paper we investigate whether specialist producers of Irish cereals were allocating land efficiently in a mean-variance sense during the 1993-2002 time period. We then expand the model to examine the potential implications on the land allocation decision of the 2002 EU Commission’s...

This paper seeks to identify potential determinants of short interest rate differentials across European countries. We rely on the portfolio theory of Tobin to choose our set of risk factors and then assess the ability of these macroeconomic variables to influence both the conditional mean and...

In turbulent time periods, the conditional covariance matrix of cash and futures prices should vary over time. The conventional regression based approach to estimate the optimal hedge could then be inappropriate. This paper investigates the hedging effectiveness of BTP futures contracts from...

The factor GARCH model of Engle (1987) and the latent factor ARCH model of Diebold and Nerlove (1989) have become rather popular multivariate volatility parametriza-tions due to their parsimony, and the commonality in volatility movements across different financial series. Nevertheless, there is...