Energy price volatilities and correlations have been modeled extensively using short-memory multivariate GARCH models. This paper investigates the potential benefits from using multivariate fractionally integrated GARCH models from a forecasting and a risk management perspective. Several...

The availability of many variables with predictive power makes their selection in a regression context difficult. This study considers robust and understandable low-dimensional estimators as building blocks to improve overall predictive power by optimally combining these building blocks. Our new...

We propose a novel approach to modelling structural changes in asset returns correlations. Our framework allows for breaks of different type in the conditional and unconditional correlation components by capturing abrupt regime switches in the short-run correlations and smooth transitions...