Extending previous risk model backtesting literature, we construct multiple hypothesis testing (MHT) with the stationary bootstrap. We conduct multiple tests which control for the generalized confidence level and employ the bootstrap MHT to design multiple comparison testing. We consider...

In this article we use a partial integral-differential approach to construct and extend a non-linear filter to include jump components in the system state. We employ the enhanced filter to estimate the latent state of multivariate parametric jump-diffusions. The devised procedure is flexible and...

Recent research has identified the presence of behavioral influences on traders in predominantly professionally traded markets such as oil, gold, and foreign exchange. Previous research had largely confined behavioral-based investigations to equity markets due to an assumption that noise traders...

Covering the first commitment period of the Kyoto Protocol (2008–2012), we perform a price discovery analysis to determine Granger causality relationships for a range of prominent green equity indices with the broader equity and commodity markets. Three pivotal contributions are made. Firstly,...

An investigation into exchange-traded fund (ETF) outperformance during the period 2008–2012 is undertaken utilizing a data set of 288 U.S. traded securities. ETFs are tested for net asset value (NAV) premium, underlying index and market benchmark outperformance, with Sharpe, Treynor, and...

Quantitative trading in oil-based markets is investigated over 2003--2010, with a focus on WTI, Brent, heating oil and gas oil. A total of 861 spreads are considered. A novel optimal statistical arbitrage trading model is applied, with generalised stepwise procedures controlling for data...

The informational fl ow between oil and spot freight markets is examined in a novel way via the time charter equivalent (TCE) to identify statistical arbitrage trading opportunities. Using Brent and TD3 data, synthetic floating storage positions are constructed, which are shown to be...

The difficulty of beating the random walk in forecasting spot foreign exchange rates is well documented, with the restricted VECM of Clarida and Taylor (1997) providing the primary challenge. We seek to extract the informational content of the forward rate term structure through the...

We utilise functional time series (FTS) techniques to characterise and forecast implied volatility in foreign exchange markets. In particular, we examine the daily implied volatility curves of FX options, namely; EUR-USD, EUR-GBP, and EUR-JPY. Based on existing techniques in the literature, the...