Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models

Published 2017 View Full Article

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Title
Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models
Authors
Keywords
Carbon dioxide emission allowance prices, GARCH, Markov-switching GARCH, FIGARCH, Multifractal processes, SPA test, Encompassing test, Backtesting
Journal
RENEWABLE & SUSTAINABLE ENERGY REVIEWS
Volume 69, Issue -, Pages 692-704
Publisher
Elsevier BV
Online
2016-11-25
DOI
10.1016/j.rser.2016.11.060

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