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Options introduction and volatility in the EU ETS

Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2009

instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the …

Persistent link: https://www.econbiz.de/10010707372

GARCH (1,1) Models with Exogenously-Driven Volatility: Structure and Estimation

Zakoïan, Jean-Michel; Regnard, Nazim - Université Paris-Dauphine (Paris IX) - 2008

This paper considers GARCH(1,1) models in which the time-varying coeﬃcients are functions of the realizations of an …

Persistent link: https://www.econbiz.de/10011071807

A Conditionally Heteroskedastic Model with Time-varying Coefficients for Daily Gas Spot Prices

Zakoïan, Jean-Michel; Regnard, Nazim - Université Paris-Dauphine (Paris IX) - 2011

relationship exists between the three series. To take into account the influence of temperature on the gas volatility, a GARCH(1 …

Persistent link: https://www.econbiz.de/10011073876

Volatility of a Market Index and its Components: An Application to Commodity Markets

WATKINS, Clinton; McALEER, Michael - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005345409

Forecasting electricity spot prices using time-series models with a double temporal segmentation

Fouquau, Julien; Bessec, Marie; Méritet, Sophie - Université Paris-Dauphine (Paris IX) - 2014

this paper, we assess the forecasting ability of several classes of time series models for electricity wholesale spot …

Persistent link: https://www.econbiz.de/10010795027

On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting

Sévi, Benoît; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2011

volatility dynamics. Finally, the predictive accuracy of the HAR-RV model is tested against GARCH specifications using one …

Persistent link: https://www.econbiz.de/10010708614

A Fear Index to Predict Oil Futures Returns

Sévi, Benoît; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2013

This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also...

Persistent link: https://www.econbiz.de/10010708762

What causes the forecasting failure of Markov-switching models ? A Monte Carlo study

Bouabdallah, Othman; Bessec, Marie - Université Paris-Dauphine (Paris IX) - 2005

This paper explores the forecasting abilities of Markov-Switching models. Although MS models generally display a … data for a wide range of speciﬁcations. In order to explain this poor performance, we use a forecasting error decomposition …

Persistent link: https://www.econbiz.de/10011072104

Will technological progress be sufficient to effectively lead the air transport to a sustainable development in the mid-term (2025)?

Chèze, Benoit; Chevallier, Julien; Gastineau, Pascal - Université Paris-Dauphine (Paris IX) - 2013

The aim of this article is to investigate whether anticipated technological progress can be expected to be strong enough to offset carbon dioxide (CO2)emissions resulting from the rapid growth of air transport. Aviation CO2 emissions projections are provided at the worldwide level and for eight...

Persistent link: https://www.econbiz.de/10011072424

Forecasting stock prices using Genetic Programming and Chance Discovery

Garcia-Almanza, Alma Lilia; Tsang, Edward P.K. - Society for Computational Economics - SCE - 2006

In recent years the computers have shown to be a powerful tool in financial forecasting. Many machine learning …

Persistent link: https://www.econbiz.de/10005342917