Modeling Volatility and Dependence of European Carbon and Energy Prices

 0 Người đánh giá. Xếp hạng trung bình 0

Tác giả: Antonia Arsova, Jonathan Berrisch, Sven Pappert, Florian Ziel

Ngôn ngữ: eng

Ký hiệu phân loại: 330 Economics

Thông tin xuất bản: 2022

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 195652

Comment: Accepted for publication in Finance Research LettersWe study the prices of European Emission Allowances (EUA), whereby we analyze their uncertainty and dependencies on related energy prices (natural gas, coal, and oil). We propose a probabilistic multivariate conditional time series model with a VECM-Copula-GARCH structure which exploits key characteristics of the data. Data are normalized with respect to inflation and carbon emissions to allow for proper cross-series evaluation. The forecasting performance is evaluated in an extensive rolling-window forecasting study, covering eight years out-of-sample. We discuss our findings for both levels- and log-transformed data, focusing on time-varying correlations, and in view of the Russian invasion of Ukraine.
Tạo bộ sưu tập với mã QR

THƯ VIỆN - TRƯỜNG ĐẠI HỌC CÔNG NGHỆ TP.HCM

ĐT: (028) 36225755 | Email: tt.thuvien@hutech.edu.vn

Copyright @2024 THƯ VIỆN HUTECH