Modeling and forecasting carbon dioxide emission allowance spot price volatility : multifractal vs. GARCH-type volatility models
Year of publication: |
2015
|
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Authors: | Segnon, Mawuli ; Lux, Thomas ; Gupta, Rangan |
Publisher: |
Kiel : Univ. |
Subject: | Carbon dioxide emission allowance prices | GARCH | Markov-switching GARCH | FIGARCH | Multifractal Processes | SPA test | encompassing test | Backtesting | Volatilität | Volatility | Treibhausgas-Emissionen | Greenhouse gas emissions | ARCH-Modell | ARCH model | Emissionshandel | Emissions trading | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Theorie | Theory | Prognoseverfahren | Forecasting model | Luftverschmutzung | Air pollution | Statistischer Test | Statistical test | Markov-Kette | Markov chain | Börsenkurs | Share price |
Extent: | Online-Ressource (25 S.) graph. Darst. |
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Series: | Finmap working paper. - Kiel : Univ., ZDB-ID 2785854-6. - Vol. 46 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | hdl:10419/112734 [Handle] |
Classification: | q47 |
Source: | ECONIS - Online Catalogue of the ZBW |
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