In this work we analyze, explore and measure two of the most important concepts for the theory of storable commodity markets. After analyzing the statistical properties of spot and futures EU ETS allowances for Germany and France, we model and test the risk premium and convenience yield for CO2...

We investigate and empirically estimate optimal hedge ratios, for the first time, in the EU ETS carbon market. Minimum variance hedge ratios are conditionally estimated with multivariate GARCH models, and unconditionally by OLS and the naïve strategy for the European Climate Exchange (ECX)...

This paper discusses the relation of spot and futures CO<SUB align="right"><SMALL>2</SMALL></SUB> allowances, used to model and test forward premium and convenience yield (CY) concepts during 2005-2011. We analyse allowances futures from an ex-post perspective and find positive forward premia for both Phase I and Phase II and for...</small></sub>

The international comovement of stock market indices is reviewed. The most powerful argument for cross-border investing is the risk reduction due to low correlation of world's stock markets. Diversifying risk has become even more important as financial markets globalize, helped by advanced...

Purpose This study aims to examine the role of financial inclusion and institutional factors such as corruption and the rule of law (RL) on the credit risk and stability of banks. Design/methodology/approach The study considers a sample of 61 developing countries and uses very robust estimation...