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This paper applies different copulas in order to investigate the complex dependence structure between EU emission …
Persistent link: https://www.econbiz.de/10013093522
This paper is concerned with carbon price volatility and the underlying causes of large price movements in the European emissions trading market. Based on the application of a combined jump-GARCH model the behavior of EUA prices is characterized. The jump-GARCH model explains the unsteady carbon...
Persistent link: https://www.econbiz.de/10013315921