Open AccessOn the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting
Author(s) -
Julien Chevallier,
Benoît Sévi
Publication year - 2009
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.1403419
Subject(s) - futures contract , volatility (finance) , econometrics , economics , financial economics , stochastic volatility , volatility smile , implied volatility , valuation of options , autoregressive conditional heteroskedasticity , realized variance , jump , physics , quantum mechanics
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom