Volatility forecasting of carbon prices using factor models
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References listed on IDEAS
- Chevallier, Julien, 2009. "Carbon futures and macroeconomic risk factors: A view from the EU ETS," Energy Economics, Elsevier, vol. 31(4), pages 614-625, July.
- Chevallier, Julien, 2010. "Modelling risk premia in CO2 allowances spot and futures prices," Economic Modelling, Elsevier, vol. 27(3), pages 717-729, May.
- repec:dau:papers:123456789/4210 is not listed on IDEAS
- Daskalakis, George & Psychoyios, Dimitris & Markellos, Raphael N., 2009. "Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1230-1241, July.
- Stock J.H. & Watson M.W., 2002. "Forecasting Using Principal Components From a Large Number of Predictors," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1167-1179, December.
- repec:dau:papers:123456789/4227 is not listed on IDEAS
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Zhu, Bangzhu & Ma, Shujiao & Chevallier, Julien & Wei, Yiming, 2014.
"Modelling the dynamics of European carbon futures price: A Zipf analysis,"
Elsevier, vol. 38(C), pages 372-380.
- Bangzhu Zhu & Shujiao Ma & Julien Chevallier & Yiming Wei, 2014. "Modeling the dynamics of European carbon futures price: a Zipf analysis," Working Papers 2014-155, Department of Research, Ipag Business School.
- Byun, Suk Joon & Cho, Hangjun, 2013. "Forecasting carbon futures volatility using GARCH models with energy volatilities," Energy Economics, Elsevier, vol. 40(C), pages 207-221.
- repec:eee:appene:v:216:y:2018:i:c:p:132-141 is not listed on IDEAS
- repec:gam:jeners:v:12:y:2019:i:5:p:950-:d:213213 is not listed on IDEAS
More about this item
KeywordsVolatility Forecasting; Carbon price; Factor models;
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
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