mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models … price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in …

For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … the stochastic volatility model with asymmetry and long memory, using high frequency data for the underlying asset …

, there has been almost no research on China’s carbon price and volatility. This paper provides an introduction to China …

generally, to observation-driven models, which include well-known models for conditional volatility. To overcome the problem of … Monte Carlo study and an empirical study concerning the measurement of conditional volatility from financial returns data. …

vary according to whether they are in low or high volatility regimes. …