Modeling volatility and dependence of European carbon and energy prices
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DOI: 10.1016/j.frl.2022.103503
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Citations
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Cited by:
- Paul Ghelasi & Florian Ziel, 2024. "From day-ahead to mid and long-term horizons with econometric electricity price forecasting models," Papers 2406.00326, arXiv.org, revised Aug 2024.
- Sikorska-Pastuszka, Magdalena & Papież, Monika, 2023. "Dynamic volatility connectedness in the European electricity market," Energy Economics, Elsevier, vol. 127(PA).
- Simon Hirsch & Florian Ziel, 2023. "Multivariate Simulation-based Forecasting for Intraday Power Markets: Modelling Cross-Product Price Effects," Papers 2306.13419, arXiv.org.
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More about this item
Keywords
Carbon prices; Conditional volatility; Copula; Emission allowances; Energy markets; Forecasting; Multivariate modeling; Time series;All these keywords.
JEL classification:
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
- Q5 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Q59 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Other
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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