Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models

DOI10.1007/s10100-014-0340-0zbMath1339.91094OpenAlexW1249549796MaRDI QIDQ2629585

Alexander C. M. Zeitlberger

Publication date: 6 July 2016

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10100-014-0340-0

zbMATH Keywords

regime switchingGARCHforecastingGranger causalityEU ETScarbon spot and futures returns

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

MULTIFRACTAL CROSS-CORRELATION ANALYSIS BETWEEN CARBON SPOT AND FUTURES MARKETS CONSIDERING ASYMMETRIC CONDUCTION EFFECT

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