Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...

We investigate the hedging effectiveness of energy derivatives traded at the European Energy Exchange (EEX), which can be used for mitigating the risk exposure of gas- and coal-fired power plants in ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation In recent years, portfolio flows to emerging markets have become increasingly large and volatile. Using weekly portfolio ...