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On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting

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  • Julien Chevallier

    ()

  • Benoît Sévi

    ()

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File URL: http://hdl.handle.net/10.1007/s10436-009-0142-x
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Bibliographic Info

Article provided by Springer in its journal Annals of Finance.

Volume (Year): 7 (2011)
Issue (Month): 1 (February)
Pages: 1-29

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Handle: RePEc:kap:annfin:v:7:y:2011:i:1:p:1-29

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Web page: http://www.springerlink.com/link.asp?id=112370

Related research

Keywords: CO 2 price; Realized volatility; HAR-RV; Emissions markets; EU ETS; Intraday data; Forecasting; C5; G1; Q4;

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References

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  3. Ole E. Barndorff-Nielsen & Neil Shephard, 2000. "Econometric analysis of realised volatility and its use in estimating stochastic volatility models," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.
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  26. Oberndorfer, Ulrich, 2009. "EU Emission Allowances and the stock market: Evidence from the electricity industry," Ecological Economics, Elsevier, vol. 68(4), pages 1116-1126, February.
  27. Muller, Ulrich A. & Dacorogna, Michel M. & Dave, Rakhal D. & Olsen, Richard B. & Pictet, Olivier V. & von Weizsacker, Jacob E., 1997. "Volatilities of different time resolutions -- Analyzing the dynamics of market components," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 213-239, June.
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  33. Patton, Andrew J. & Sheppard, Kevin, 2009. "Optimal combinations of realised volatility estimators," International Journal of Forecasting, Elsevier, vol. 25(2), pages 218-238.
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Citations

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Cited by:
  1. Chevallier, Julien, 2013. "Variance risk-premia in CO2markets," Economics Papers from University Paris Dauphine 123456789/11713, Paris Dauphine University.
  2. Rittler, Daniel, 2012. "Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 774-785.

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