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The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions · Study

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ArticleThe Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions

Chia‐Lin Chang2018

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Articlegreen2018

The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions

Chia‐Lin Chang · Michael J. McAleer

24 citations·0/0 files stored·Finance research letters

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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References

1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1996Efficient Tests for an Autoregressive Unit Root

Cited by

2019Establishing national carbon emission prices for China 2019What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity and (Non-) Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model 2021How does news flow affect cross-market volatility spillovers? Evidence from China’s stock index futures and spot markets 2018Risk measurement of international carbon market based on multiple risk factors heterogeneous dependence

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Year2018

Typearticle

Published2018-01-01

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations24

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.frl.2018.03.008

openalex_workW2792947730

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