Detecting instability in the volatility of carbon prices
Year of publication: |
2011
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Authors: | Chevallier, Julien |
Institutions: | Université Paris-Dauphine (Paris IX) |
Subject: | Implied volatility | EGARCH | Instability test | Carbon price | EU ETS | Realized volatility |
Extent: | application/pdf application/vnd.ms-excel |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published in Energy Economics, 2011, Vol. 33, no. 1. pp. 99-110.Length: 11 pages |
Classification: | Q5 - Environmental Economics ; G1 - General Financial Markets ; C1 - Econometric and Statistical Methods: General |
Source: |
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Detecting instability in the volatility of carbon prices.
Chevallier, Julien, (2011)
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Busch, Thomas, (2005)
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