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Is the EUA a new asset class?
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Is the EUA a new asset class? (2012)Is the EUA a new asset class?The Fundamentals of Commodity Futures Returns (2012)The Fundamentals of Commodity…Asset Price Dynamics, Volatility, and Prediction (2011)Asset Price Dynamics, Volatil…Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme (2009)Modeling CO2 emission allowan…Price drivers and structural breaks in European carbon prices 2005–2007 (2008)Price drivers and structural …Modeling the price dynamics of CO2 emission allowances (2008)Modeling the price dynamics o…An econometric analysis of emission allowance prices (2008)An econometric analysis of em…Modelling Financial Time Series (2007)Modelling Financial Time Seri…CO2 Prices, Energy and Weather (2007)CO2 Prices, Energy and WeatherFacts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Directive 2003/87/EC of the European Parliament and of the Council of 13 October 2003 Establishing a Scheme for Greenhouse Gas Emission Allowance Trading Within the Community and Amending Council Directive 96/61/EC (2005)Directive 2003/87/EC of the E…Leverage Effect in Financial Markets: The Retarded Volatility Model (2001)Leverage Effect in Financial …Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Stable Paretian Models in Finance (2000)Stable Paretian Models in Fin…The econometrics of financial markets (1996)The econometrics of financial…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…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)Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks (2003)Allowance price drivers in the first phase of the EU ETS (2009)Pricing Carbon: The European Union Emissions Trading Scheme (2010)Causes of the EU ETS price drop: Recession, CDM, renewable policies or a bit of everything?—New evidence (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Statistical analysis of cointegration vectors (1988)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)The Behavior of Stock-Market Prices (1965)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Heterogeneous Agent Models in Economics and Finance (2005)Copula Modeling: An Introduction for Practitioners (2007)Conditional Time Series Forecasting with Convolutional Neural Networks (2017)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Theory of Financial Decision Making. (1988)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Value and Capital (1939)Evaluating Natural Resource Investments (1985)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Time Series Momentum (2011)Financialization of Commodity Markets (2013)Intermediary asset pricing: New evidence from many asset classes (2017)Oil and the Macroeconomy since World War II (1983)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The Strategic and Tactical Value of Commodity Futures (2006)Index Investment and the Financialization of Commodities (2012)“Options, Futures, and Other Derivatives” (2016)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Carbon emissions and stock returns: Evidence from the EU Emissions Trading Scheme (2015)Can environmental innovation facilitate carbon emissions reduction? Evidence from China (2016)ARCH modeling in finance (1992)Modelling of extremal events in insurance and finance (1994)Modeling and Forecasting Realized Volatility (2003)Measuring Market Risk (2005)Institutional Investors and Stock Market Volatility (2006)The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)
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References

  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,637 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,658 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,544 cited
  • 2007Modelling Financial Time Series1,491 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 1996The econometrics of financial markets886 cited
  • 2012The Fundamentals of Commodity Futures Returns760 cited
  • 2008Price drivers and structural breaks in European carbon prices 2005–2007725 cited
  • 2000Stable Paretian Models in Finance718 cited
  • 2008Modeling the price dynamics of CO2 emission allowances697 cited
  • 2005Directive 2003/87/EC of the European Parliament and of the Council of 13 October 2003 Establishing a Scheme for Greenhouse Gas Emission Allowance Trading Within the Community and Amending Council Directive 96/61/EC664 cited
  • 2009Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme486 cited
  • 2007CO2 Prices, Energy and Weather471 cited
  • 2011Asset Price Dynamics, Volatility, and Prediction358 cited
  • 2008An econometric analysis of emission allowance prices

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327 cited
  • 2001Leverage Effect in Financial Markets: The Retarded Volatility Model326 cited
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