volatility over time. This study assesses the impact of structural changes and outliers on volatility persistence of three crude … modified ICSS test developed by Sansó et al. (2004) and then incorporate this information into the volatility modeling. Our … results indicated that the degree of persistence of volatility is reduced by incorporating the variance changes into the …

To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX … market depth) or increase (due to more speculation) volatility. As the identification of these effects ultimately remains an … empirical question, we use daily data from April 2005 to April 2008 to document volatility behavior in the EU ETS. By …

GARCH with variance regime change. The interest of the model with regime change is to correct the estimation bias caused by … volatility shocks. They also show the high exposure of European and Asian markets to the uncertainties of North American markets …

of the equation governing volatility dynamics; (ii) the regularity and non-negativity conditions of GARCH-type models … (GARCH, IGARCH, FIGARCH and HYGARCH); and (iii) the detection of structural breaks in volatility, and thus the estimation of … volatility over time. This study assesses the impact of structural changes and outliers on volatility persistence of three crude …

diversification. The cross-market correlations are empirically estimated from the Engle (2002)'s DCC-GARCH model. Bai and Perron (2003 …

: the Logistic Smooth Transition GARCH model and the Markov-Switching GARCH models. Thanks to simulation experiments, we …