Dutta, Anupam; Jalkh, Naji; Bouri, Elie; Dutta, Probal - In: International Journal of Managerial Finance 16 (2019) 1, pp. 49-60
Purpose: The purpose of this paper is to examine the impact of structural breaks on the conditional variance of carbon emission allowance prices. Design/methodology/approach: The authors employ the symmetric GARCH model, and two asymmetric models, namely the exponential GARCH and the threshold...