Dynamic factor analysis of carbon allowances prices: From classic Arbitrage Pricing Theory to Switching Regimes
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- Marius-Cristian Frunza & Dominique Guegan & Antonin Lassoudière, 2010. "Dynamic factor analysis of carbon allowances prices: From classic Arbitrage Pricing Theory to Switching Regimes," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00505145, HAL.
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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Marius-Cristian Frunza & Dominique Guegan & Fabrice Thiebaut, 2010.
"Missing trader fraud on the emissions market,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
- 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
More about this item
KeywordsCarbon; EUA; energy; Arbitrage Pricing Theory; switching regimes; hidden Markov Chain model; forecast;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-31 (All new papers)
- NEP-ENE-2010-07-31 (Energy Economics)
- NEP-ENV-2010-07-31 (Environmental Economics)
- NEP-FOR-2010-07-31 (Forecasting)
- NEP-ORE-2010-07-31 (Operations Research)
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