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Title: Modelling long-run co-volatilities Authors:  Susana Martins - University of Oxford (United Kingdom) [presenting]
David Hendry - University of Oxford (United Kingdom)
Abstract: Long-run co-volatility between climate and financial variables is of increasing interest as the climate changes seem to be happening much faster than the IPCC models initially expected. There is a strong possibility that this will wrong foot markets. There have been studies showing that the volatility of some climate variables, such as the jet stream, has been changing greatly, but modelling co-volatilities is a new research area.