Search Results - subject:"Activity signature function"

Review of the Stochastic Properties of CO2 Futures Prices

Chevallier, Julien - Institut de Préparation à l'Administration et à la … - 2014

In this paper, we review the extant mathematical and environmental economics literatures on the stochastic properties of CO2 emission allowance futures prices. We explain the main findings arising from this literature from both continuous- and jump-diffusion models. Based on the Activity...

Persistent link: https://www.econbiz.de/10010891126

On the Stochastic Properties of Carbon Futures Prices

Chevallier, Julien; Sévi, Benoît - HAL - 2012

high-frequency data in the activity signature function framework (Todorov and Tauchen (2010, 2011)). The implication is …

Persistent link: https://www.econbiz.de/10010899754

Jumps in high-frequency data on the Chinese stock market

Li, Ying; Jiang, Tengfei - In: Journal of mathematical finance 7 (2017) 2, pp. 467-490

Persistent link: https://www.econbiz.de/10011674005

On the Stochastic Properties of Carbon Futures Prices

Chevallier, Julien; Sévi, Benoît - In: Environmental & Resource Economics 58 (2014) 1, pp. 127-153

signature function framework (Todorov and Tauchen in J Econom 154:125–138, <CitationRef CitationID="CR68">2010</CitationRef … not contain a continuous component (Brownian motion). The results are derived by using high-frequency data in the activity …

Persistent link: https://www.econbiz.de/10010987559

On the stochastic properties of carbon futures prices

Chevallier, Julien; Sévi, Benoît - In: Environmental & resource economics : the official … 58 (2014) 1, pp. 127-153

Persistent link: https://www.econbiz.de/10010386062