Dynamic factor analysis of carbon allowances prices: From classic Arbitrage Pricing Theory to Switching Regimes
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Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00505145
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Other versions of this item:
- Marius-Cristian Frunza & Dominique Guegan & Antonin Lassoudière, 2010. "Dynamic factor analysis of carbon allowances prices: From classic Arbitrage Pricing Theory to Switching Regimes," Documents de travail du Centre d'Economie de la Sorbonne 10062, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
References listed on IDEAS
- Abdou Kâ Diongue & Dominique Guegan & Rodney C. Wolff, 2010. "BL-GARCH model with elliptical distributed innovations," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368340, HAL.
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Cited by:
- Marius-Cristian Frunza & Dominique Guegan & Fabrice Thiebaut, 2010.
"Missing trader fraud on the emissions market,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
halshs-00523512, HAL.
- Marius-Cristian Frunza & Dominique Guegan & Fabrice Thiebaut, 2010. "Missing trader fraud on the emissions market," Documents de travail du Centre d'Economie de la Sorbonne 10071, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- repec:hal:journl:halshs-00523512 is not listed on IDEAS
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Keywords
Carbon; hidden Markov Chain Model; switching regimes; forecast; energy; Abritrage Pricing Theory; précision; modèle de Markov; modèle APT; EUA; Carbone;Statistics
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