An econometric analysis of emission allowance prices
Top Cited Papers
- 1 October 2008
- journal article
- Published by Elsevier in Journal of Banking & Finance
- Vol. 32 (10) , 2022-2032
- https://doi.org/10.1016/j.jbankfin.2007.09.024
Abstract
No abstract availableKeywords
This publication has 11 references indexed in Scilit:
- Fat tails and volatility clustering in experimental asset marketsJournal of Economic Dynamics and Control, 2007
- Normal mixture GARCH(1,1): applications to exchange rate modellingJournal of Applied Econometrics, 2006
- Value-at-Risk Prediction: A Comparison of Alternative StrategiesJournal of Financial Econometrics, 2005
- Decisions from Experience and the Effect of Rare Events in Risky ChoicePsychological Science, 2004
- Modelling daily Value-at-Risk using realized volatility and ARCH type modelsJournal of Empirical Finance, 2004
- Mixed Normal Conditional HeteroskedasticityJournal of Financial Econometrics, 2004
- Stationarity of stable power-GARCH processesJournal of Econometrics, 2002
- Testing the stable Paretian assumptionMathematical and Computer Modelling, 2001
- VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTSInternational Journal of Theoretical and Applied Finance, 2000
- Conditional density and value-at-risk prediction of Asian currency exchange ratesJournal of Forecasting, 2000