The informational fl ow between oil and spot freight markets is examined in a novel way via the time charter equivalent (TCE) to identify statistical arbitrage trading opportunities. Using Brent and TD3 data, synthetic floating storage positions are constructed, which are shown to be...

The difficulty of beating the random walk in forecasting spot foreign exchange rates is well documented, with the restricted VECM of Clarida and Taylor (1997) providing the primary challenge. We seek to extract the informational content of the forward rate term structure through the...

We utilise functional time series (FTS) techniques to characterise and forecast implied volatility in foreign exchange markets. In particular, we examine the daily implied volatility curves of FX options, namely; EUR-USD, EUR-GBP, and EUR-JPY. Based on existing techniques in the literature, the...

In this article we use a partial integral-differential approach to construct and extend a non-linear filter to include jump components in the system state. We employ the enhanced filter to estimate the latent state of multivariate parametric jump-diffusions. The devised procedure is flexible and...

The decisions of the European Parliament (EP) are shown to influence both EU emission allowance (EUA) prices and volatility. This is not a universal influence though, only the decisions which are either (i) parliament-led, as opposed to topical decisions originating from the political groups,...

An investigation into Exchange Traded Fund (ETF) outperformance during the period 2008-2012 is undertaken utilising a data set of 288 US traded securities. ETFs are tested for Net Asset Value (NAV) premium, underlying index and market benchmark outperformance, with Sharpe, Treynor and Sortino...

Recent decades have seen a rapid increase in the area of privately owned forest plantations in Ireland. This has been largely driven by grant aid from the government. These forests are significant carbon sinks and as such are delivering added benefit to the country by contributing to greenhouse...

The pricing of European emissions allowances (EUAs) is complicated by the market being driven by not just financial and economic factors, but also the harder-to-gauge uncertain influences of politics and policy. Drawing on a well-established literature showing sentiment to play an expanded role...

High-frequency sentiment time series are extracted from Twitter data concerning the European emissions market and are used to explain returns and volatility in European emissions futures. The measures of negative sentiment are shown to Granger-cause EUA futures returns, while positive sentiment...

We propose a new real options analysis method for evaluating R&D investments using a novel Poisson process to simulate the discrete progress typical of R&D breakthroughs. We take explicit account of the technical risk of an R&D project, while the market risk and the effect of learning-by-doing...