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On the realized volatility of the ECX CO2 Emissions 2008 Futures Contract: distribution, dynamics and forecasting
Chevallier, Julien; Sévi, Benoît - 2009
. Finally, the predictive accuracy of the HAR-RV model is tested against GARCH specifications using one-step-ahead forecasts …
Persistent link: https://www.econbiz.de/10010279482
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On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting
Chevallier, Julien; Sévi, Benoît - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2009
. Finally, the predictive accuracy of the HAR-RV model is tested against GARCH specifications using one-step-ahead forecasts …
Persistent link: https://www.econbiz.de/10005078954
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On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting
Chevallier, Julien; Sévi, Benoît - Fondazione ENI Enrico Mattei (FEEM) - 2009
. Finally, the predictive accuracy of the HAR-RV model is tested against GARCH specifications using one-step-ahead forecasts …
Persistent link: https://www.econbiz.de/10008502108
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On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting
Sévi, Benoît; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2011
volatility dynamics. Finally, the predictive accuracy of the HAR-RV model is tested against GARCH specifications using one …
Persistent link: https://www.econbiz.de/10010708614
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On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting.
Sévi, Benoît; Chevallier, Julien - Université Paris-Dauphine - 2011
volatility dynamics. Finally, the predictive accuracy of the HAR-RV model is tested against GARCH specifications using one …
Persistent link: https://www.econbiz.de/10008460928
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Realized volatility of CO2 futures
Benschop, Thijs; López Cabrera, Brenda - 2017
, in-sample and out-of-sample forecasting. The analysis is based on intraday data (May 2007-April 2012) for futures on CO2 …
Persistent link: https://www.econbiz.de/10011747080
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Realized volatility of CO2 futures
Benschop, Thijs; López Cabrera, Brenda - 2017
, in-sample and out-of-sample forecasting. The analysis is based on intraday data (May 2007-April 2012) for futures on CO2 …
Persistent link: https://www.econbiz.de/10011963631
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Is intraday data useful for forecasting VaR? : the evidence from EUR/PLN exchange rate
Będowska-Sójka, Barbara - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 4, pp. 326-346
Persistent link: https://www.econbiz.de/10011962183
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Jump-robust estimation of realized volatility in the EU emissions trading scheme
Chevallier, Julien; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2010
With the increased availability of high-frequency financial market data in recent years, the extraction of “realized” volatility (from intraday squared returns) has led to numerous theoretical developments and empirical applications for a wide range of equity and commodity markets. This...
Persistent link: https://www.econbiz.de/10011166543
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Level changes in volatility models
Craioveanu, Mihaela; Hillebrand, Eric - In: Annals of Finance 8 (2012) 2, pp. 277-308
Persistent link: https://www.econbiz.de/10010866518