Volatility Modelling of CO2 Emission Allowance Spot Prices with Regime-Switching GARCH Models
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Thijs Benschop & Brenda López Cabrera, 2017. "Realized volatility of CO2 futures," SFB 649 Discussion Papers SFB649DP2017-025, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Segnon, Mawuli & Lux, Thomas & Gupta, Rangan, 2017. "Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models," Renewable and Sustainable Energy Reviews, Elsevier, vol. 69(C), pages 692-704.
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- Cong, Ren & Lo, Alex Y., 2017. "Emission trading and carbon market performance in Shenzhen, China," Applied Energy, Elsevier, vol. 193(C), pages 414-425.
More about this item
KeywordsCO2 Emission Allowances; CO2 Emission Trading; Spot Price Modelling; Markov Switching GARCH Models; Volatility Forecasting;
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- Q49 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Other
- Q53 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Air Pollution; Water Pollution; Noise; Hazardous Waste; Solid Waste; Recycling
- Q59 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Other
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ENE-2014-10-22 (Energy Economics)
- NEP-ENV-2014-10-22 (Environmental Economics)
- NEP-ORE-2014-10-22 (Operations Research)
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