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

We empirically evaluate a behavioural model with boundedly rational traders who disagree about the persistence of …

Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that … towards volatility features of the time series.For the older electricity market of Nord Pool in Norway, it is found that a …

predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression … superior market timing ability and volatility timing ability, while a mean-variance investor would be willing to pay an annual …

intra-day data. The paper analyses the relationships among the S&P 500 Index and futures prices, returns and volatility of … intra-day temporal aggregation in examining returns relationships and volatility spillovers across the equity and energy … futures markets, and the effects of overnight returns, volume, realized volatility, asymmetry, and spillovers across the four …

We develop a new simultaneous time series model for volatility and dependence with long memory (fractionally integrated … volatility and dependence measures. The forecast accuracy is overall higher compared to those from some well-known competing …

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …

This paper develops a novel approach to modeling and forecasting realized volatility (RV) measures based on copula … functions. Copula-based time series models can capture relevant characteristics of volatility such as nonlinear dynamics and … long-memory type behavior in a flexible yet parsimonious way. In an empirical application to daily volatility for S&P500 …

The paper derives a Multivariate Asymmetric Long Memory conditional volatility model with Exogenous Variables (X), or … univariate conditional volatility model with exogenous variables (X) that has dynamic conditional correlations, appropriate … regularity conditions, and associated asymptotic theory. Therefore, the derivation of a multivariate conditional volatility model …