We test the importance of multivariate information for modelling and forecasting inflation’s conditional mean and variance. In the literature, the existence of inflation’s conditional heteroskedasticity has been debated for years, as it seemed to appear only in some datasets and for some lag lengths. This phenomenon might be due to the fact that inflation depends on a linear combination of econ...

This paper proposes new dynamic conditional futures hedge ratios and compares their hedging performances along with those of common benchmark across three broad asset classes. Three the are based on upward-biased carry cost rate ratio, where each is augmented in a different bias-mitigating way. The ratio correlation between spot price changes generally: (1) provides highest effectiveness (2) ha...

Copula functions have become standard practice for pricing multi-name credit derivatives. Marginal default distributions are often chosen by using a simple deterministic intensity function. It is wellknown that this approach only generates default time correlation and, apart from jumps due to default events, does not generate correlation between the conditional default intensities, or the condi...