Modeling volatility and dependence of European carbon and energy prices
Jonathan Berrisch, Sven Pappert, Florian Ziel, Antonia Arsova
| Year of publication: |
2023
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|---|---|
| Authors: | Berrisch, Jonathan ; Pappert, Sven ; Ziel, Florian ; Arsova, Antonia |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 52.2023, p. 1-9
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| Subject: | Carbon prices | Conditional volatility | Copula | Emission allowances | Energy markets | Forecasting | Multivariate modeling | Time series | Volatilität | Volatility | Emissionshandel | Emissions trading | Zeitreihenanalyse | Time series analysis | EU-Staaten | EU countries | Energiemarkt | Energy market | Treibhausgas-Emissionen | Greenhouse gas emissions | Energiepreis | Energy price | ARCH-Modell | ARCH model | Multivariate Analyse | Multivariate analysis | Ökosteuer | Environmental tax | Multivariate Verteilung | Multivariate distribution | Börsenkurs | Share price | Prognoseverfahren | Forecasting model |