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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
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Options introduction and volatility in the EU ETS
Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2011
instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the …
Persistent link: https://www.econbiz.de/10010707678
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On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting
Chevallier, Julien; Sévi, Benoît - HAL - 2009
. Finally, the predictive accuracy of the HAR-RV model is tested against GARCH specifications using one-step-ahead forecasts …
Persistent link: https://www.econbiz.de/10008794324
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Options Introduction and Volatility in the EU ETS
Chevallier, Julien; Pen, Yannick Le; Sévi, Benoît - HAL - 2009
instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the …
Persistent link: https://www.econbiz.de/10008794422
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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
April 2005 to April 2008 to document volatility behavior in the EU ETS. By instrumenting various GARCH models, endogenous …
Persistent link: https://www.econbiz.de/10010576622
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On the realized volatility of the ECX CO2 Emissions 2008 Futures Contract: distribution, dynamics and forecasting
Chevallier, Julien; Sévi, Benoît - 2009
. Finally, the predictive accuracy of the HAR-RV model is tested against GARCH specifications using one-step-ahead forecasts …
Persistent link: https://www.econbiz.de/10010279482
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Options introduction and volatility in the EU ETS
Chevallier, Julien; Pen, Yannick Le; Sévi, Benoît - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2009
instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the …
Persistent link: https://www.econbiz.de/10008479209
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On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting
Chevallier, Julien; Sévi, Benoît - Fondazione ENI Enrico Mattei (FEEM) - 2009
. Finally, the predictive accuracy of the HAR-RV model is tested against GARCH specifications using one-step-ahead forecasts …
Persistent link: https://www.econbiz.de/10008502108
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Options introduction and volatility in the EU ETS.
Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine
instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the …
Persistent link: https://www.econbiz.de/10008460929
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On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting
Chevallier, Julien; Sévi, Benoît - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2009
. Finally, the predictive accuracy of the HAR-RV model is tested against GARCH specifications using one-step-ahead forecasts …
Persistent link: https://www.econbiz.de/10005078954