One of the key components of financial risk management is risk measurement. This typically requires modeling, estimating and forecasting tail-related quantities of the asset returns’ conditional distribution. Recent advances in the financial econometrics literature have developed several...

A pairs trading strategy on energy, agricultural and index futures is developed. The strategy uses different parameters according to a volatility regime detected using a threshold evaluated in two ways, namely by means of a mixture of two Gaussian densities and a Markov switching model. The...

This paper proposes a novel extension of log and exponential GARCH models, where time-varying parameters are approximated by orthogonal polynomial systems. These expansions enable us to add and study the effects of market-wide and external international shocks on the volatility forecasts and...