Using EGARCH models to predict volatility in unconsolidated financial markets: the case of European carbon allowances
CC-BY
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| Định dạng: | Sách |
| Ngôn ngữ: | English |
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Springer
2023
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| Truy cập trực tuyến: | https://link.springer.com/article/10.1007/s13412-023-00838-5 https://dlib.phenikaa-uni.edu.vn/handle/PNK/8669 |
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oai:localhost:PNK-86692023-08-04T08:01:46Z Using EGARCH models to predict volatility in unconsolidated financial markets: the case of European carbon allowances Villar-Rubio, Elena Huete-Morales, María-Dolores Galán-Valdivieso, Federico price of CO2 allowances EU ETS CC-BY The growing interest and direct impact of carbon trading in the economy have drawn an increasing attention to the evolution of the price of CO2 allowances (European Union Allowances, EUAs) under the European Union Emissions Trading Scheme (EU ETS). As a novel financial market, the dynamic analysis of its volatility is essential for policymakers to assess market efficiency and for investors to carry out an adequate risk management on carbon emission rights. In this research, the main autoregressive conditional heteroskedasticity (ARCH) models were applied to evaluate and analyze the volatility of daily data of the European carbon future prices, focusing on the last finished phase of market operations (phase III, 2013–2020), which is structurally and significantly different from previous phases. 2023-08-04T03:47:52Z 2023-08-04T03:47:52Z 2023 Book https://link.springer.com/article/10.1007/s13412-023-00838-5 https://dlib.phenikaa-uni.edu.vn/handle/PNK/8669 en application/pdf Springer |
| institution |
Digital Phenikaa |
| collection |
Digital Phenikaa |
| language |
English |
| topic |
price of CO2 allowances EU ETS |
| spellingShingle |
price of CO2 allowances EU ETS Villar-Rubio, Elena Huete-Morales, María-Dolores Galán-Valdivieso, Federico Using EGARCH models to predict volatility in unconsolidated financial markets: the case of European carbon allowances |
| description |
CC-BY |
| format |
Book |
| author |
Villar-Rubio, Elena Huete-Morales, María-Dolores Galán-Valdivieso, Federico |
| author_facet |
Villar-Rubio, Elena Huete-Morales, María-Dolores Galán-Valdivieso, Federico |
| author_sort |
Villar-Rubio, Elena |
| title |
Using EGARCH models to predict volatility in unconsolidated financial markets: the case of European carbon allowances |
| title_short |
Using EGARCH models to predict volatility in unconsolidated financial markets: the case of European carbon allowances |
| title_full |
Using EGARCH models to predict volatility in unconsolidated financial markets: the case of European carbon allowances |
| title_fullStr |
Using EGARCH models to predict volatility in unconsolidated financial markets: the case of European carbon allowances |
| title_full_unstemmed |
Using EGARCH models to predict volatility in unconsolidated financial markets: the case of European carbon allowances |
| title_sort |
using egarch models to predict volatility in unconsolidated financial markets: the case of european carbon allowances |
| publisher |
Springer |
| publishDate |
2023 |
| url |
https://link.springer.com/article/10.1007/s13412-023-00838-5 https://dlib.phenikaa-uni.edu.vn/handle/PNK/8669 |
| _version_ |
1773327721823207424 |
| score |
8.881002 |