Modeling crude oil volatility is of substantial interest for both energy researchers and policy makers. Many authors emphasize the link between this volatility and some exogenous economic variables. This paper aims to investigate the impact of the U.S. Federal Reserve monetary policy on crude...

Novel model specifications that include a time-varying long run component in the dynamics of realized covariance matrices are proposed. The adopted modeling framework allows the secular component to enter the model structure either in an additive fashion or as a multiplicative factor, and to be...

The main problem in the combination of volatility forecasts is that the volatility cannot be directly observed and hence loss functions such as the MSFE cannot be directly used unless a suitable proxy of the conditional variance is defined. A common approach is to use the squared returns but...

In this paper we propose an approach to modelling non-linear conditionally heteroscedastic time series characterised by asymmetries in both the conditional mean and variance. This is achieved by combining a TAR model for the conditional mean with a Changing Parameters Volatility (CPV) model for...

A novel approach to the combination of volatility forecasts is discussed. The proposed procedure makes use of the generalized method of moments (GMM) for estimating the combination weights. The asymptotic properties of the GMM estimator are derived while its finite sample properties are assessed...

Financial asset returns are known to be conditionally heteroskedastic and generally non-normally distributed, fat-tailed and often skewed. In order to account for both the skewness and the excess kurtosis in returns, we combine the BEKK model from the multivariate GARCH literature with different...

The consistent ranking of multivariate volatility models by means of statistical loss function is a challenging research field, because it concerns the quality of the proxy chosen to replace the unobserved volatility, the set of competing models to be ranked and the kind of loss function. The...

The paper presents a competing-risks approach for investigating the determinants of corporate financial distress. In particular a comparative analysis of three European markets - France, Italy and Spain – is performed in order to find out the similarities and the differences in the...

In this paper we develop statistical models for bankruptcy prediction of Italian firms in the limited liability sector, using annual balance sheet information. Several issues involved in default risk analysis are investigated, such as the structure of the data-base, the sampling procedure and...