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Price discovery in carbon exchange traded fund markets
16 references·0 citing·38 second hop
Price discovery in carbon exchange traded fund markets (2023)Price discovery in carbon exchange traded…Low-carbon innovation induced by emissions trading in China (2019)Low-carbon innovation induced…Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme (2009)Modeling CO2 emission allowan…Price discovery and common factor models (2002)Price discovery and common fa…One Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Estimation of Common Long-Mem…A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada (1995)A Multivariate GARCH Model of…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)A Further Analysis of the Lea…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…International Transmission of Stock Market Movements (1989)International Transmission of…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…Efficient Capital Markets and Martingales (1989)Efficient Capital Markets and…Testing for Common Trends (1988)Testing for Common TrendsTesting for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Stock return variances (1986)Stock return variancesThe Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)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)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)Trends and random walks in macroeconmic time series (1982)Bounds testing approaches to the analysis of level relationships (2001)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)A PANIC Attack on Unit Roots and Cointegration (2004)Realized Variance and Market Microstructure Noise (2006)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)A simple panel unit root test in the presence of cross‐section dependence (2007)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Measuring and Testing the Impact of News on Volatility (1993)Foreign Speculators and Emerging Equity Markets (2000)Theory of rational option pricing (2005)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)International Diversification of Investment Portfolios (1970)Macroeconomics and Reality (1980)Correlations in Price Changes and Volatility across International Stock Markets (1990)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Cointegration and Tests of Present Value Models (1987)Inferring Trade Direction from Intraday Data (1991)Market microstructure: A survey (2000)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing32,281 cited
  • 1988Testing for a Unit Root in Time Series Regression19,420 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,637 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1988Testing for Common Trends1,983 cited
  • 1986Stock return variances1,841 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,393 cited
  • 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
  • 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market635 cited
  • 2002Price discovery and common factor models546 cited
  • 1995A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada516 cited
  • 1989Efficient Capital Markets and Martingales505 cited
  • 2009

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Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme
486 cited
  • 2019Low-carbon innovation induced by emissions trading in China465 cited
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