Castellon
E-12071 Castello de la Plana, Castellón de la Plana 12071
Spain
Universitat Jaume I - Department of Finance and Accounting
Commodity prices, financialization, speculation
Decision Analysis, Optimization, Asset Allocation, Dynamic Correlation, Rebalancing & Transaction Costs
Asset Allocation, Bond Market, Commodity Markets, Naïve Allocation, Optimization, Real Estate Market, Tail Risk
Credit Risk, Contingent Claims, Hedging, CDS, Options
time-varying risk-return trade-off, non-linear dependence, cyclical variation, panel regressions, asset pricing
Commodity prices, manipulation
Commodity prices, financialization, commodity speculation
Commodity prices, commodity pricing, financialization, speculation, investor heterogeneity
commodity prices, commodity pricing, financialization, speculation, investor heterogeneity
Risk-return trade-off, Time-varying parameters, Ridge regressions
regime-swithcing, volatility, spillover effects, state-dependent volatility response functions, correlation
Futures indices, Dynamic hedging, Hedging Effectiveness, Markov Regime Switching, Asymmetric volatility, Non-linear GARCH
Finance, Hedging effectiveness, GARCH, sudden changes in variance
Equity risk premium, multivariate GARCH, cross-sectional analysis, ICAPM, risk aversion
high-frequency data, intraday periodic component, Fourier Flexible Form, realized volatility, microstructure noise, distribution
regime switching models, arbitrage opportunities, lead-lag relationship, intraday data
asset allocation, high-frequency data, optimization, transaction costs, estimation error
high-frequency data, intraday periodic component, flexible fourier form, realized volatility, volatility spillover
