Benschop, Thijs; López Cabrera, Brenda - 2017
Autoregressive (HAR) class models. Therefore, we propose to model and forecast the realized volatility of the EU ETS futures with HAR … option pricing and conclude that the HAR model is capable of mimicking the long-term volatility structure in the futures … and volatility estimates and forecasts for appropriate risk management, asset allocation and volatility trading. Although …
