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  • Search: subject:"Endogenous Structural Break Detection"
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Year of publication
Subject
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EU ETS 7 GARCH 7 Option prices 6 Volatility 6 Endogenous Structural Break Detection 5 Rolling Estimation 5 Endogenous structural break detection 1 Rolling estimation 1 endogenous structural break detection 1 option prices 1 rolling estimation 1 volatility 1
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Online availability
All
Free 4 Undetermined 1
Type of publication
All
Book / Working Paper 6 Article 1
Language
All
Undetermined 5 English 2
Author
All
Chevallier, Julien 7 Sévi, Benoît 7 Le Pen, Yannick 5 Pen, Yannick Le 2
Institution
All
Université Paris-Dauphine (Paris IX) 2 Chaire d'Économie du Climat, Université Paris-Dauphine (Paris IX) 1 EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X) 1 HAL 1 Université Paris-Dauphine 1
Published in...
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Economics Papers from University Paris Dauphine 2 EconomiX Working Papers 1 Open Access publications from Université Paris-Dauphine 1 Resource and Energy Economics 1 Working Papers / Chaire d'Économie du Climat, Université Paris-Dauphine (Paris IX) 1 Working Papers / HAL 1
Source
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RePEc 7
Showing 1 - 7 of 7
Cover Image
Options introduction and volatility in the EU ETS
Chevallier, Julien; Pen, Yannick Le; Sévi, Benoît - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2009
To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006 after regulatory authorization. The central question we address is: can we identify a potential destabilizing effect of the...
Persistent link: https://www.econbiz.de/10008479209
Saved in:
Cover Image
Options introduction and volatility in the EU ETS
Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2009
To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006 after regulatory authorization. The central question we address is: can we identify a potential destabilizing effect of the...
Persistent link: https://www.econbiz.de/10010707372
Saved in:
Cover Image
Options Introduction and Volatility in the EU ETS
Chevallier, Julien; Pen, Yannick Le; Sévi, Benoît - HAL - 2009
To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006 after regulatory authorization. The central question we address is: can we identify a potential destabilizing effect of the...
Persistent link: https://www.econbiz.de/10008794422
Saved in:
Cover Image
Options introduction and volatility in the EU ETS
Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - In: Resource and Energy Economics 33 (2011) 4, pp. 855-880
To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006. The central question we address is: can we identify a potential destabilizing effect of the introduction of options on the...
Persistent link: https://www.econbiz.de/10010576622
Saved in:
Cover Image
Options introduction and volatility in the EU ETS
Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - Chaire d'Économie du Climat, Université … - 2011
To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006. The central question we address is: can we identify a potential destabilizing effect of the introduction of options on the...
Persistent link: https://www.econbiz.de/10009385714
Saved in:
Cover Image
Options introduction and volatility in the EU ETS
Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2011
To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006 after regulatory authorization. The central question we address is: can we identify a potential destabilizing effect of the...
Persistent link: https://www.econbiz.de/10010707678
Saved in:
Cover Image
Options introduction and volatility in the EU ETS.
Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine
To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006 after regulatory authorization. The central question we address is: can we identify a potential destabilizing effect of the...
Persistent link: https://www.econbiz.de/10008460929
Saved in:
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