SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models
16 references·3 citing·24 second hop
Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models (2014)Modeling carbon spot and futures price re…Volatility forecast comparison using imperfect volatility proxies (2010)Volatility forecast compariso…Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Investigating Causal Relation…Statistical inference in vector autoregressions with possibly integrated processes (1995)Statistical inference in vect…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…The pricing of commodity contracts (1976)The pricing of commodity cont…Time Series Analysis Forecasting and Control. (1971)Time Series Analysis Forecast…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Forecasting the carbon price of China's national carbon market: A novel dynamic interval-valued framework (2024)Forecasting the carbon price …Carbon Price Forecasting Based on Multi-Resolution Singular Value Decomposition and Extreme Learning Machine Optimized by the Moth–Flame Optimization Algorithm Considering Energy and Economic Factors (2019)Carbon Price Forecasting Base…Exploring the price dynamics of CO2 emissions allowances in China's emissions trading scheme pilots (2017)Exploring the price dynamics …Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Statistical analysis of cointegration vectors (1988)Tourism as a long-run economic growth factor: the Spanish case (2002)Energy consumption, income, and carbon emissions in the United States (2006)Energy consumption, carbon emissions, and economic growth in China (2009)Causal Ordering and Identifiability (1977)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Effects of Word-of-Mouth versus Traditional Marketing: Findings from an Internet Social Networking Site (2009)Testing for Granger non-causality in heterogeneous panels (2012)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Oil and the Macroeconomy since World War II (1983)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Some recent development in a concept of causality (1988)Unit root tests in panel data: asymptotic and finite-sample properties (2002)
this work references cited by second hop

References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1971Time Series Analysis Forecasting and Control.6,714 cited
  • 1995Statistical inference in vector autoregressions with possibly integrated processes6,097 cited
  • 2010Investigating Causal Relations by Econometric Models and Cross-Spectral Methods4,760 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2010
Volatility forecast comparison using imperfect volatility proxies
1,281 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
  • Cited by

    • 2017Exploring the price dynamics of CO2 emissions allowances in China's emissions trading scheme pilots77 cited
    • 2019Carbon Price Forecasting Based on Multi-Resolution Singular Value Decomposition and Extreme Learning Machine Optimized by the Moth–Flame Optimization Algorithm Considering Energy and Economic Factors38 cited
    • 2024Forecasting the carbon price of China's national carbon market: A novel dynamic interval-valued framework32 cited