An econometric analysis of emission allowance prices
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References listed on IDEAS
- Giot, Pierre & Laurent, Sebastien, 2004.
"Modelling daily Value-at-Risk using realized volatility and ARCH type models,"
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- GIOT, Pierre & LAURENT, SÃ©bastien, 2004. "Modelling daily Value-at-Risk using realized volatility and ARCH type models," CORE Discussion Papers RP 1708, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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More about this item
KeywordsC16 C32 C51 C52 C53 Emission allowances GARCH Greenhouse gases Mixture models Value-at-risk;
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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