The fiction of full BEKK : pricing fossil fuels and carbon emissions
Year of publication: |
2019
|
---|---|
Authors: | Chang, Chia-Lin ; McAleer, Michael |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 28.2019, p. 11-19
|
Subject: | Asymptotic properties | Conditional volatility | Diagonal BEKK | Fossil fuels and carbon emissions | Full BEKK | Off-diagonal parametric restrictions | Random coefficient stochastic process | Regularity conditions | Univariate and multivariate models | Treibhausgas-Emissionen | Greenhouse gas emissions | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Fossile Energie | Fossil fuel | Luftverschmutzung | Air pollution | Volatilität | Volatility | Theorie | Theory |
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