Detecting instability in the volatility of carbon prices

Energy Economics

Volumn 33, Issue 1, 2011, Pages 99-110

  Chevallier, Julien ^a  

^a UNIVERSITÉ PARIS DAUPHINE   (France)

Author keywords

Carbon price; EGARCH; EU ETS; Implied volatility; Instability test; Realized volatility

Indexed keywords

CARBON PRICE; EGARCH; EU ETS; IMPLIED VOLATILITY; INSTABILITY TEST; REALIZED VOLATILITY;

GAS EMISSIONS; STABILITY; TESTING;

COSTS;

COMPLIANCE; ECONOMIC ANALYSIS; EMISSIONS TRADING; EUROPEAN UNION; INTERNATIONAL AGREEMENT; KYOTO PROTOCOL; NUMERICAL MODEL; STRUCTURAL CHANGE;

EID: 78650257625     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2010.09.006     Document Type: Article

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