Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2011
This article investigates the presence of outliers in the volatility of carbon prices. We compute three different … measures of volatility for European Union Allowances, based on daily data (EGARCH model), option prices (implied volatility …), and intraday data (realized volatility). Based on the methodology developed by Zeileis et al. (2003) and Zeileis (2006 …