Show simple item record

dc.contributor.authorSévi, Benoît
HAL ID: 3591
dc.contributor.authorChevallier, Julien
HAL ID: 7536
dc.date.accessioned2010-07-19T15:28:10Z
dc.date.available2010-07-19T15:28:10Z
dc.date.issued2011
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/4598
dc.language.isoenen
dc.subjectIntraday dataen
dc.subjectForecastingen
dc.subjectCO2 priceen
dc.subjectRealized volatilityen
dc.subjectHAR-RVen
dc.subjectEmissions marketsen
dc.subjectEU ETSen
dc.subject.ddc333en
dc.subject.classificationjelC5en
dc.subject.classificationjelG1en
dc.subject.classificationjelQ4en
dc.titleOn the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecastingen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis article documents the conditional and unconditional distributions of the realized volatility for the 2008 futures contract in the European climate exchange (ECX), which is valid under the EU emissions trading scheme (EU ETS). Realized volatility measures from naive, kernel-based and subsampling estimators are used to obtain inferences about the distributional and dynamic properties of the ECX emissions futures volatility. The distribution of the daily realized volatility in logarithmic form is shown to be close to normal. The mixture-of-normals hypothesis is strongly rejected, as the returns standardized using daily measures of volatility clearly departs from normality. A simplified HAR-RV model (Corsi in J Financ Econ 7:174–196, 2009) with only a weekly component, which reproduces long memory properties of the series, is then used to model the volatility dynamics. Finally, the predictive accuracy of the HAR-RV model is tested against GARCH specifications using one-step-ahead forecasts, which confirms the HAR-RV superior ability.en
dc.relation.isversionofjnlnameAnnals of Finance
dc.relation.isversionofjnlvol7
dc.relation.isversionofjnlissue1
dc.relation.isversionofjnldate2011
dc.relation.isversionofjnlpages1-29
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s10436-009-0142-xen
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelEconomie de la terre et des ressources naturellesen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record