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~institution:"Agricultural and Applied Economics Association - AAEA"
~institution:"Université Paris-Dauphine"
~person:"Chevallier, Julien"
~person:"Roberts, Matthew C."
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Carbon price
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EGARCH
1
EU ETS
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Implied volatility
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Instability test
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Realized volatility
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Research Methods/ Statistical Methods
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convenience yield
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implied volatility
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supply of storage
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Chevallier, Julien
Roberts, Matthew C.
Aboura, Sofiane
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Goodwin, Barry K.
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Zhao, Jieyuan
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Zhou, Haijiang
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Zulauf, Carl R.
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Agricultural and Applied Economics Association - AAEA
Université Paris-Dauphine
Université Paris-Dauphine (Paris IX)
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2005 Annual meeting, July 24-27, Providence, RI
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Open Access publications from Université Paris-Dauphine
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Detecting instability in the volatility of carbon prices.
Chevallier, Julien
-
Université Paris-Dauphine
-
2011
measures of volatility for European Union Allowances, based on daily data (EGARCH model), option prices (
implied
volatility
…
Persistent link: https://www.econbiz.de/10008725852
Saved in:
2
Updating the Estimation of the Supply of Storage Model
Zulauf, Carl R.
;
Zhou, Haijiang
;
Roberts, Matthew C.
-
Agricultural and Applied Economics Association - AAEA
-
2005
convenience yield, and a curvilinear relationship between stocks-to-use ratio and
implied
volatility
. …
Persistent link: https://www.econbiz.de/10005327354
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