Benschop, Thijs; López Cabrera, Brenda - 2017
The EU Emission Trading System (EU ETS) was created to reduce the CO2 and other greenhouse gas emissions at the lowest … Autoregressive (HAR) class models. Therefore, we propose to model and forecast the realized volatility of the EU ETS futures with HAR … certificates for the second EU-ETS trading period (expiry December 2008-2012). The estimation results of the models allow to …