Showing 1 - 10 of 64
The purpose of the paper is to provide a clear mechanism for determining carbon emissions pricing in China as a guide to how carbon emissions might be mitigated to reduce fossil fuel pollution. The Chinese Government has promoted the development of clean energy, including hydroelectric power,...
Persistent link: https://www.econbiz.de/10011794247
Persistent link: https://www.econbiz.de/10011958479
The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which accommodates leverage, feedback effects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform...
Persistent link: https://www.econbiz.de/10010326219
There has recently been growing interest in modeling and estimating alternative continuous time multivariate stochastic volatility models. We propose a continuous timefractionally integrated Wishart stochastic volatility (FIWSV) process. We derive the conditional Laplace transform of the FIWSV...
Persistent link: https://www.econbiz.de/10010326243
This paper reviews the exciting and rapidly expanding literature on realized volatility. After presenting a general univariate framework for estimating realized volatilities, a simple discrete time model is presented in order to motivate the main results. A continuous time specification provides...
Persistent link: https://www.econbiz.de/10011807355
Persistent link: https://www.econbiz.de/10003783790
Persistent link: https://www.econbiz.de/10003355704
Persistent link: https://www.econbiz.de/10003805629
Persistent link: https://www.econbiz.de/10003460319
Persistent link: https://www.econbiz.de/10008669344