Abstract The Basel Committee on Banking Supervision recently proposed fundamental
changes in the regulatory treatment of financial institutions׳ trading book positions. Among …

This work is concerned with the statistical modeling of the dependence structure between
three energy commodity markets (WTI crude oil, natural gas and heating oil) using the …

Abstract During the period 1999–2014, overnight returns of US exchange-traded index
funds and most international index futures are significantly positive, while returns during …

This paper introduces wavelet-based extreme value theory (EVT) for univariate value-at-risk
estimation. Wavelets and EVT are combined for volatility forecasting to estimate a hybrid …

The aim of this work is to study in a first step the dependence between oil and some
commodity prices (cotton, rice, wheat, sucre, coffee, and silver) using copula theory, and …

This study analyses the contagion effects of the American, the British and the Greek stock
markets on the Chinese stock market in the context of the 2007–2010 American and …

This research aims to build conceptual guidelines regarding price risk management through
the agricultural derivatives market. Specifically, to identify the common price risk …

This paper implements different approaches used to compute the one-day Value-at-Risk
(VaR) forecast for a portfolio of four currency exchange rates. The concepts and techniques …

We propose a multivariate model of returns that accounts for four of the stylised facts of
financial data: heavy tails, skew, volatility clustering, and asymmetric dependence with the …

Several industrial domains are currently developing innovative safety-related autonomous
systems characterized by increasing software complexity and high-performance …