Forecasting EUA futures volatility with geopolitical risk : evidence from GARCH-MIDAS models
Hengzhen Lu, Qiujin Gao, Ling Xiao, Gurjeet Dhesi
| Year of publication: |
2024
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|---|---|
| Authors: | Lu, Hengzhen ; Gao, Qiujin ; Xiao, Ling ; Dhesi, Gurjeet |
| Published in: |
Review of managerial science : RMS. - Berlin : Springer, ISSN 1863-6691, ZDB-ID 2365045-X. - Vol. 18.2024, 7, p. 1917-1943
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| Subject: | Carbon futures | Economic gain | GARCH-MIDAS models | Geopolitical risk index | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Geopolitik | Geopolitics | ARCH-Modell | ARCH model | Risiko | Risk | Welt | World | Prognose | Forecast |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11846-023-00722-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015134051