Carbon option price forecasting based on modified fractional Brownian motion optimized by GARCH model in carbon emission trading
Year of publication: |
2021
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Authors: | Liu, Zhibin ; Huang, Shang-Ho |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 55.2021, p. 1-15
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Subject: | Carbon option price forecasting | Fractional Brownian motion (FBM) | GARCH | Treibhausgas-Emissionen | Greenhouse gas emissions | Stochastischer Prozess | Stochastic process | Emissionshandel | Emissions trading | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Prognoseverfahren | Forecasting model | Experiment | Prognose | Forecast |
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