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Market Efficiency and Price Discovery in the EU Carbon Futures Market
16 references·1 citing·28 second hop
Market Efficiency and Price Discovery in the EU Carbon Futures Market (2007)Market Efficiency and Price Discovery in …“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …The Economics of Climate Change: The Stern Review (2007)The Economics of Climate Chan…Cointegration analysis in the presence of structural breaks in the deterministic trend (2000)Cointegration analysis in the…Statistical inference in vector autoregressions with possibly integrated processes (1995)Statistical inference in vect…One Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Testing for Common Trends (1988)Testing for Common TrendsStatistical analysis of cointegration vectors (1988)Statistical analysis of coint…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)A new approach to decompositi…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Price Discovery and Liquidity in the European CO2 Futures Market: An Intraday Analysis (2008)Price Discovery and Liquidity…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)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)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)The "Stern Review" on the Economics of Climate Change (2006)Closing the gap in a generation: health equity through action on the social determinants of health (2008)The environment and directed technical change (2012)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 2007The Economics of Climate Change: The Stern Review9,689 cited
  • 1995Statistical inference in vector autoregressions with possibly integrated processes6,097 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
  • 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
  • 1988Testing for Common Trends1,894 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate

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1,679 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 2000Cointegration analysis in the presence of structural breaks in the deterministic trend709 cited
  • Cited by

    • 2008Price Discovery and Liquidity in the European CO2 Futures Market: An Intraday Analysis32 cited