Listar por autoría "f4221cb9-6879-4e40-81d0-9421b78cc0bb"
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Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data
Lux, Thomas; Segnon, Mawuli; Gupta, Rangan Elsevier (2016)This paper adopts the Markov-switching multifractal (MSM) model and a battery of generalized autoregressive conditional heteroscedasticity (GARCH)-type models to model and forecast oil price volatility. Extending previous ... -
Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan Elsevier (2017)The launch of the markets for carbon dioxide emission allowances was guided by the aim to use the supposedly efficient price formation mechanism of an organized exchange to optimally allocate a certain quantity of emissions ...