Finans kuramının en önemli unsurlarından biri risktir. İlgilenilen serinin standart sapma ya da varyansıyla ölçülen oynaklık, ait olduğu finansal varlığın riskinin yaklaşık ölçüsü olarak kabul edilmektedir. Bu nedenledir ki, varyansın modellenmesi, sadece akademisyenlerin...

The aim of this paper is to investigate the determinants of the carbon price during the two phases of the European Union Emission Trading Scheme (EU ETS). More specifically, relying on daily EU allowance futures contracts, we test whether the carbon price drivers identified for Phase I still...

This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the...