Similar Search Results

European Carbon Prices Fundamentals in 2005-2007 : The Effects of Energy Markets, Temperatures and Sectorial Production

Alberola, Emilie; Chevallier, Julien; Chèze, Benoît - 2014

This article aims at characterizing the daily price fundamentals of European Union Allowances (EUAs) traded since 2005 as part of the Emissions Trading Scheme (ETS). First, the presence of two structural changes on April, 2006 following the disclosure of 2005 verified emissions and on October,...

Persistent link: https://www.econbiz.de/10014221321

Evaluating the carbon-macroeconomy relationship : evidence from threshold vector error-correction and Markov-switching VAR models

Chevallier, Julien - In: Economic modelling 28 (2011) 6, pp. 2634-2656

Persistent link: https://www.econbiz.de/10009512487

Global imbalances, cross-market linkages, and the financial crisis : a multivariate Markov-switching analysis

Chevallier, Julien - In: Economic modelling 29 (2012) 3, pp. 943-973

Persistent link: https://www.econbiz.de/10009545490

Variance risk-premia in CO 2 markets

Chevallier, Julien - In: Economic modelling 31 (2013), pp. 598-605

Persistent link: https://www.econbiz.de/10009731478

United States Oil Fund volatility prediction : the roles of leverage effect and jumps

Liang, Chao; Liao, Yin; Ma, Feng; Zhu, Bo - In: Empirical economics : a quarterly journal of the … 62 (2022) 5, pp. 2239-2262

Persistent link: https://www.econbiz.de/10013197292

The role of oil futures intraday information on predicting US stock market volatility

Tang, Yusui; Xiao, Xiao; Wahab, M. I. M.; Ma, Feng - In: Journal of management science and engineering 6 (2021) 1, pp. 64-74

This study investigates the role of oil futures price information on forecasting the US stock market volatility using the HAR framework. In-sample results indicate that oil futures intraday information is helpful to increase the predictability. Moreover, compared to the benchmark model, the...

Persistent link: https://www.econbiz.de/10013206077

Crude oil and BRICS stock markets under extreme shocks : new evidence

Wang, Lu; Ma, Feng; Niu, Tianjiao; He, Chengting - In: Economic modelling 86 (2020), pp. 54-68

Persistent link: https://www.econbiz.de/10012415223

Economic policy uncertainty and the Chinese stock market volatility : novel evidence

Li, Tao; Ma, Feng; Zhang, Xuehua; Zhang, Yaojie - In: Economic modelling 87 (2020), pp. 24-33

Persistent link: https://www.econbiz.de/10012416291

Forecasting the aggregate oil price volatility in a data-rich environment

Ma, Feng; Liu, Jing; Wahab, M. I. M.; Zhang, Yaojie - In: Economic modelling 72 (2018), pp. 320-332

Persistent link: https://www.econbiz.de/10012100341

Forecasting the realized range-based volatility using dynamic model averaging approach

Liu, Jing; Wei, Yu; Ma, Feng; Wahab, M. I. M. - In: Economic modelling 61 (2017), pp. 12-26

Persistent link: https://www.econbiz.de/10011736682