On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting
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- Julien Chevallier & Benoît Sévi, 2011. "On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting," Annals of Finance, Springer, vol. 7(1), pages 1-29, February.
- Julien Chevallier & Benoît Sévi, 2009. "On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting," Working Papers halshs-00387286, HAL.
- Julien Chevallier & Benoît Sévi, 2009. "On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting," Working Papers 2009.113, Fondazione Eni Enrico Mattei.
- Chevallier, Julien & Benoit, Sevi, 2009. "On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting," Sustainable Development Papers 55834, Fondazione Eni Enrico Mattei (FEEM).
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- Rittler, Daniel, 2009. "Price Discovery, Causality and Volatility Spillovers in European Union Allowances Phase II: A High Frequency Analysis," Working Papers 0492, University of Heidelberg, Department of Economics.
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"Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes,"
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- Kevin Sheppard & Lily Liu & Andrew J. Patton, 2013. "Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes," Economics Series Working Papers 645, University of Oxford, Department of Economics.
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More about this item
Keywords
CO2 Price; Realized Volatility; HAR-RV; GARCH; Futures Trading; Emissions Markets; EU ETS; Intraday data; Forecasting;All these keywords.
JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G1 - Financial Economics - - General Financial Markets
- Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2009-07-28 (Energy Economics)
- NEP-ENV-2009-07-28 (Environmental Economics)
- NEP-FOR-2009-07-28 (Forecasting)
- NEP-MST-2009-07-28 (Market Microstructure)
Statistics
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