We model the climate change impact on the risk free term structure in a time deformation model with a persistent component in the stochastic clock. In the spirit of the "rare disaster" representation of climate change we specify a "pure" jump model for consumption. Climate change is claimed to...

The relevance of oil in the world economy explains why considerable effort has been devoted to the development of different types of econometric models for oil price forecasting. Several specifications have been proposed in the economic literature. Some are based on financial theory and...

The identification of the forces that drive stock returns and the dynamics of their associated volatilities is a major concern in empirical economics and finance. This analysis is particularly relevant for determining optimal hedging strategies based on whether shocks to the volatilities of...

The relevance of oil in the world economy explains why considerable effort has been devoted to the development of different types of econometric models for oil price forecasting. Several specifications have been proposed in the economic literature. Some are based on financial theory and...

This paper provides an analysis of the link between the oil market and the U.S. stock market returns at the aggregate as well as industry levels. We empirically model oil price changes as driven by speculative demand shocks along with consumption demand and supply shocks in the oil market. We...

The 2015 workshop on “Recent evolutions of oil and commodity prices”, organized by FEEM, focused on the sharp decline in the oil price in 2014. High crude oil production and slower demand growth explain a large fraction of the current low level of prices, but a complex set of factors is...