Weather derivatives have become very popular tools in weather risk management in recent years. One of the elements supporting their diffusion has been the increase in volatility observed on many energy markets. Among the several available contracts, Quanto options are now becoming very popular...

The main interest of the wind speed modelling is on the short-term forecast of wind speed intensity and direction. Recently, its relationship with electricity production by wind farms has been studied. In fact, electricity producers are interested in long-range forecasts and simulation of wind...

The objective of this study is to analyse volatility transmission between the US and Eurozone stock markets considering the financial market responses to the September 11, March 11 and July 7 terrorist attacks. In order to do this, we use a multivariate GARCH model and take into account the...

Using Spanish stock market data, this paper examines volatility spillovers between large and small firms and their impact on expected returns. By using a conditional capital asset pricing model (CAPM) with an asymmetric multivariate GARCH-M covariance structure, it is shown that there exist...

A distinguishing feature of the intraday time-varying volatility of financial time series is given by the presence of long-range dependence of periodic type, due mainly to time-of-the-day phenomena. In this work, we introduce a model able to describe the empirical evidence given by this periodic...

This paper extends the current literature on the variance-causality topic providing the coefficient restrictions ensuring variance noncausality within multivariate GARCH models with in-mean effects. Furthermore, this paper presents a new multivariate model, the exponential causality GARCH. By...

In many multivariate volatility models, the number of parameters increases faster than the cross-section dimension, hence creating a curse of dimensionality problem. This paper discusses specification and identification of structured parameterizations based on weight matrices induced by economic...