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What Moves the European Carbon Market? - Insights from Conditional Jump Models
Gronwald, Marc; Ketterer, Janina - CESifo - 2012
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 price movement well and, moreover, shows that between 40 and 60 percent …
Persistent link: https://www.econbiz.de/10010948892
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"Interest Rate Trap", or: Why Does the Central Bank Keep the Policy Rate too Low for too Long Time?
Cao, Jin; Illing, Gerhard - CESifo - 2012
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 price movement well and, moreover, shows that between 40 and 60 percent …
Persistent link: https://www.econbiz.de/10010544182
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Volatility of Exchange Rates in Selected New EU Members: Evidence from Daily Data
Fidrmuc, Jarko; Horváth, Roman - CESifo - 2007
, and Slovakia) using GARCH and TARCH models between 1999 and 2006. Despite these countries adopted inflation targeting …
Persistent link: https://www.econbiz.de/10005765724
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Evaluating Emission Trading as a Policy Tool - Evidence from Conditional Jump Models
Gronwald, Marc; Ketterer, Janina - CESifo - 2009
trading as a policy measure. Applying combined jump GARCH models yields strong evidence of conditional jump behavior. This …
Persistent link: https://www.econbiz.de/10004979418
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A Characterization of Oil Price Behavior - Evidence from Jump Models
Gronwald, Marc - CESifo - 2011
GARCH in order to characterize the behavior of daily, weekly as well as monthly oil prices. Secondly, it relates its … characterized by GARCH as well as conditional jump behavior and that a considerable portion of the total variance is triggered by …
Persistent link: https://www.econbiz.de/10009371347
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Long Memory with Markov-Switching GARCH
Kraemer, Walter - 2008
The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives … empirical observation that estimated GARCH-parameters often sum to almost one …
Persistent link: https://www.econbiz.de/10012772611
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Modelling Volatility of Cryptocurrencies Using Markov-Switching GARCH Models
Caporale, Guglielmo Maria - 2018
cryptocurrencies, i.e. Bitcoin, Ethereum, Ripple and Litecoin. More than 1,000 GARCH models are fitted to the log returns of the … well as using a Model Confidence Set (MCS) procedure for their loss functions. The results imply that using standard GARCH …
Persistent link: https://www.econbiz.de/10012910938
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The Undisclosed Renminbi Basket : Are the Markets Telling Us Something About Where the Renminbi-US Dollar Exchange Rate is Going?
Funke, Michael - 2013
On 21 July 2005 China adopted an undisclosed basket exchange rate regime. We formally assess and envisage the gradual evolution of the renminbi over time. We utilize nonlinear dependencies in the renminbi exchange rate and describe the smooth transition of the renminbi/U.S. dollar (RMB/USD)...
Persistent link: https://www.econbiz.de/10012753619
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The Euro and Inflation Uncertainty in the European Monetary Union
Caporale, Guglielmo Maria; Kontonikas, Alexandros - 2021
-varying GARCH model is estimated to distinguish between short-run and steady-state inflation uncertainty. The effects of the …
Persistent link: https://www.econbiz.de/10013317342
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Inflation and Inflation Uncertainty in the Euro Area
Caporale, Guglielmo Maria - 2013
This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the …
Persistent link: https://www.econbiz.de/10013095747