. "Yield Curve Reaction to Macroeconomic News in Europe: Disentangling the US Influence." Centre Emile Bernheim Working Paper No.
Using daily data, Chevallier and Ielpo
(2013) find that volatility spillovers among commodities have been increasing in the period 1995-2012.
is a fund manager at Lombard Odier Investment Management in Geneva.
We choose, from the list in the study by Ielpo
and Guegan (2009), the surprise components of 11 U.S.
AC MILAN SQUAD: Goalkeepers: Simone Braglia, Valerio Fiori, Giovanni Galli, Mario Ielpo
, Davide Pinato, Sebastiano Rossi.
Marcos Adelino ALMEIDA FILHO, Josiany Costa de SOUZA, Charles Ielpo
MOURAO & Lydia Dayanne Maia PANTOJA *
Chan (1999) showed the relationship between minimal entropy equivalent measure and the Esscher transform when asset prices follow the Levy process (see Chorro, Guegan and Ielpo
, 2008 and Ornthanalai, 2011).