Violante, Francesco; Violante, Francesco - 2009
PAPER
2009/24
Understanding volatility dnamics in the EU-TS market:
les from te futr
Marí Eugnia SANI
1
and … prices for EU emission
allowances. We model returns and volatility dynamics this price showingthat a standard ARMA …-GARCH
framework is not adequate that the gaussianity assumption is rejected due to the occurrence of a number
of level and volatility …