Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models : evidence from the first commitment period (2008-2012)
Alexander C. M. Zeitlberger, Alexander Brauneis
| Year of publication: |
March 2016
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| Authors: | Zeitlberger, Alexander C. M. ; Brauneis, Alexander |
| Published in: |
Central European journal of operations research : CEJOR ; official journal of the Austrian, Croatian, Czech, Hungarian, Slovakian and Slovenian OR Societies. - Berlin : Springer, ISSN 1435-246X, ZDB-ID 1178875-6. - Vol. 24.2016, 1, p. 149-176
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| Subject: | Carbon spot and Futures returns | EU ETS | GARCH | Regime switching | Granger causality | Forecasting | ARCH-Modell | ARCH model | Treibhausgas-Emissionen | Greenhouse gas emissions | Kausalanalyse | Causality analysis | Schätzung | Estimation | Emissionshandel | Emissions trading | Markov-Kette | Markov chain | Prognoseverfahren | Forecasting model | Rohstoffderivat | Commodity derivative | Zeitreihenanalyse | Time series analysis | Spotmarkt | Spot market | Aktienindex | Stock index | Börsenkurs | Share price | Großbritannien | United Kingdom | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10100-014-0340-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011665786