Showing 1 - 10 of 341
Persistent link: https://www.econbiz.de/10014521264
Persistent link: https://www.econbiz.de/10011412074
Persistent link: https://www.econbiz.de/10011568168
This paper applies Markov-switching multifractal (MSM) processes to model and forecast carbon dioxide (CO2) emission price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH) and the two-state Markov-switching GARCH (MS-GARCH)...
Persistent link: https://www.econbiz.de/10011296114
Persistent link: https://www.econbiz.de/10014317435
Persistent link: https://www.econbiz.de/10014472761
Persistent link: https://www.econbiz.de/10013341336
Persistent link: https://www.econbiz.de/10014483638
Persistent link: https://www.econbiz.de/10014515694
Persistent link: https://www.econbiz.de/10011803607