Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models
暂无分享,去创建一个
[1] Julien Chevallier,et al. European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007) , 2009 .
[2] R. Quandt. The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes , 1958 .
[3] A. Denny Ellerman,et al. Over-Allocation or Abatement? A Preliminary Analysis of the EU Ets Based on the 2005 Emissions Data , 2006 .
[4] Julien Chevallier,et al. Carbon futures and macroeconomic risk factors : a view from the EU ETS , 2009 .
[5] Lilian K. Ng,et al. A causality-in-variance test and its application to financial market prices , 1996 .
[6] Juri Marcucci. Forecasting Stock Market Volatility with Regime-Switching GARCH Models , 2005 .
[7] Marc S. Paolella,et al. An econometric analysis of emission allowance prices , 2008 .
[8] Ziran Li,et al. Testing for Linear and Nonlinear Granger Causality between the Carbon Spot and Futures Prices , 2011, 2011 Fourth International Conference on Business Intelligence and Financial Engineering.
[9] Marliese Uhrig-Homburg,et al. Derivative Instruments in the EU Emissions Trading Scheme — An Early Market Perspective , 2008 .
[10] Craig Hiemstra,et al. Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation , 1994 .
[11] P. Hansen,et al. Consistent Ranking of Volatility Models , 2006 .
[12] Jim Malley,et al. A non-parametric approach to non-linear causality testing , 1996 .
[13] T. Bollerslev,et al. Generalized autoregressive conditional heteroskedasticity , 1986 .
[14] F. Black. The pricing of commodity contracts , 1976 .
[15] Sonja Peterson,et al. The determinants of allowance prices in the European Emissions Trading Scheme - Can we expect an efficient allowance market 2008? , 2007 .
[16] M. Rockinger,et al. Gram–Charlier densities , 2001 .
[17] Uta Pigorsch,et al. Nonlinearity in Cap-and-Trade Systems: The EUA Price and its Fundamentals , 2013 .
[18] James D. Hamilton. A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle , 1989 .
[19] S. Goldfeld,et al. A Markov model for switching regressions , 1973 .
[20] M. Sanin,et al. Understanding volatility dynamics in the EU-ETS market , 2009 .
[21] Angela Köppl,et al. Stringency and Distribution in the EU Emissions Trading Scheme - The 2005 Evidence , 2007 .
[22] F. Convery,et al. Market and Price Developments in the European Union Emissions Trading Scheme , 2007, Review of Environmental Economics and Policy.
[23] Stefan Trück,et al. Modeling the Price Dynamics of Co2 Emission Allowances , 2009 .
[24] L. Glosten,et al. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks , 1993 .
[25] Andrew J. Patton. Volatility Forecast Comparison Using Imperfect Volatility Proxies , 2006 .
[26] H. Gurgul,et al. The electricity consumption versus economic growth of the Polish economy , 2012 .
[27] C. Granger,et al. A long memory property of stock market returns and a new model , 1993 .
[28] Julien Chevallier,et al. A model of carbon price interactions with macroeconomic and energy dynamics , 2011 .
[29] Anna Creti,et al. Les Cahiers de la Chaire Economie du Climat Carbon Price Drivers : Phase I versus Phase II Equilibrium ? , 2011 .
[30] Daniel B. Nelson. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH , 1991 .
[31] C. Granger. Investigating causal relations by econometric models and cross-spectral methods , 1969 .
[32] Marc Gronwald,et al. Evaluating Emission Trading as a Policy Tool - Evidence from Conditional Jump Models , 2009, SSRN Electronic Journal.
[33] Anil K. Bera,et al. A Class of Nonlinear ARCH Models , 1992 .
[34] B. Hintermann. Allowance Price Drivers in the First Phase of the EU ETS , 2010 .
[35] Frank Jotzo,et al. Price Floors for Emissions Trading , 2010 .
[36] Julien Chevallier,et al. Nonparametric modeling of carbon prices , 2011 .
[37] Cees Diks,et al. A new statistic and practical guidelines for nonparametric Granger causality testing , 2006 .
[38] Christian Conrad,et al. Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency , 2010 .
[39] Stefan Palan,et al. Inducing Low-Carbon Investment in the Electric Power Industry Through a Price Floor for Emissions Trading , 2011 .
[40] P. Phillips,et al. Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? , 1992 .
[41] Gwilym M. Jenkins,et al. Time series analysis, forecasting and control , 1972 .
[42] Raphael N. Markellos,et al. Modeling CO2 Emission Allowance Prices and Derivatives: Evidence from the European Trading Scheme , 2008 .
[43] Julien Chevallier. Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model , 2011 .
[44] Julien Chevallier,et al. Carbon Price Drivers: An Updated Literature Review , 2011, Int. J. Appl. Logist..
[45] Yi-Ming Wei,et al. Carbon price volatility: Evidence from EU ETS , 2011 .
[46] G. C. Tiao,et al. Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance , 1994 .
[47] R. Quandt. A New Approach to Estimating Switching Regressions , 1972 .
[48] R. Engle. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .
[49] Hiro Y. Toda,et al. Statistical inference in vector autoregressions with possibly integrated processes , 1995 .
[50] Cees Diks,et al. The relationship between crude oil spot and futures prices: cointegration, linear and nonlinear causality , 2008 .
[51] Julien Chevallier,et al. Detecting instability in the volatility of carbon prices , 2011 .