Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models : evidence from the first commitment period (2008-2012)
Year of publication: |
March 2016
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Authors: | Zeitlberger, Alexander C. M. ; Brauneis, Alexander |
Published in: |
Central European journal of operations research : CEJOR ; official journal of the Austrian, Croatian, Czech, Hungarian, Slovakian and Slovenian OR Societies. - Berlin : Springer, ISSN 1435-246X, ZDB-ID 1178875-6. - Vol. 24.2016, 1, p. 149-176
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Subject: | Carbon spot and Futures returns | EU ETS | GARCH | Regime switching | Granger causality | Forecasting | ARCH-Modell | ARCH model | Emissionshandel | Emissions trading | Markov-Kette | Markov chain | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Schätzung | Estimation | Treibhausgas-Emissionen | Greenhouse gas emissions | Kausalanalyse | Causality analysis | Rohstoffderivat | Commodity derivative | Börsenkurs | Share price | Spotmarkt | Spot market | Kapitaleinkommen | Capital income | Aktienindex | Stock index |
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