We investigate whether liquidity introduces or helps resolve uncertainty in Phase I and the first year of Phase II of the European Carbon futures market. We propose a distinction between ‘absolute' or overall liquidity and that which is ‘relative' to a benchmark. For this purpose, we suggest...

This paper formally implements time-varying risk price models for currency returns. Focusing upon time variation in risk prices, the paper explores four currency risk factors. In addition to dollar and carry factors, we employ momentum and value factors which are widely used by currency...

Carry returns have been widely observed in the FX market. This study exploits the common information embedded in several factors previously identified as relevant to carry trade returns. We find that the extracted common factor successfully models the time series and cross-sectional...

This paper investigates whether a particular magnitude and direction of meteor showers in returns dominates the performance of domestic trading in U.S., European and Australasian global markets. Direct and indirect channels of foreign information transmission are modelled by stochastic parameter...

Pricing of capital share risks provides a novel link between macroeconomicsand finance. Our paper adopts the Epstein-Zin type utility framework andthe Bansal and Yaron's (2004) long-run risk model to derive an heterogeneousasset pricing model that extends Lettau et al.'s (2019) capital share...

This study models the trading intensity in European Allowances (EUA) futures contracts in the European Climate Exchange (ECX) using various specifications and investigates the forecasting ability of observable versus unobservable factors. This set up tests empirically the impact of the evolving...