Showing 1 - 10 of 38
Persistent link: https://www.econbiz.de/10003853157
Persistent link: https://www.econbiz.de/10003993425
Persistent link: https://www.econbiz.de/10003580427
Persistent link: https://www.econbiz.de/10008988886
Persistent link: https://www.econbiz.de/10011299816
Persistent link: https://www.econbiz.de/10010415355
Persistent link: https://www.econbiz.de/10009235562
This paper applies Markov-switching multifractal (MSM) processes to model and forecast carbon dioxide (CO2) emission price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH) and the two-state Markov-switching GARCH (MS-GARCH)...
Persistent link: https://www.econbiz.de/10011296114
Persistent link: https://www.econbiz.de/10012692569
Persistent link: https://www.econbiz.de/10013270178