In this paper we analyse some bootstrap techniques to make inference in INAR(p) models. First of all, via Monte Carlo experiments we compare the performances of these methods when estimating the thinning parameters in INAR(p) models. We state the superiority of sieve bootstrap approaches on...

n this paper, we bring a new econometric perspective for CO2 emission prices modelling and we provide with an innovative methodological approach to compute option prices in incomplete markets. We apply our methodology to carbon derivative. We calibrate several Generalized Hyperbolic and GARCH...

In recent years two classes of switching models have been proposed, the Markov switching models, Hamilton (1989) and the Threshold Auto-Regressive Models (TAR), Lim and Tong (1980). These two models have the advantage of being able to modelel and capture asymmetry, sudden changes and...

This article questions the empirical usefulness of leverage effects to describe the dynamics of equity returns. Relying on both in and out of sample tests we consistently find a weak contribution of leverage effects over the past 25 years of S&P 500 returns. The skewness in the conditional...