𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models

✍ Scribed by Zeitlberger, Alexander C. M.; Brauneis, Alexander

Book ID
121546612
Publisher
Springer-Verlag
Year
2014
Tongue
English
Weight
815 KB
Volume
24
Category
Article
ISSN
1435-246X

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Volatility forecasting with double Marko
Volatility forecasting with double Markov switching GARCH models
✍ Cathy W. S. Chen; Mike K. P. So; Edward M. H. Lin πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 251 KB

## Abstract This paper investigates inference and volatility forecasting using a Markov switching heteroscedastic model with a fat‐tailed error distribution to analyze asymmetric effects on both the conditional mean and conditional volatility of financial time series. The motivation for extending t