This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise' to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect...

Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....

Julien Chevallier Econometric Analysis of Carbon Markets The European Union Emissions Trading Scheme and the Clean Development Mechanism 4y Springer Contents Introduction to Emissions Trading 1 1.1 Review of International Climate Policies ...

We present a new volatility model, simple to implement, that combines various attractive features such as an exponential moving average of the price and a leverage effect. This model is able to capture the so-called 'panic effect', which occurs whenever systematic risk becomes the dominant...