Forecasting the volatility of European Union allowance futures with time-varying higher moments and time-varying risk aversion
There is increasing evidence that European Union allowance (EUA) futures return distributions exhibit features of time-varying higher moments (skewness and kurtosis), which plays an important role in modeling and forecasting EUA futures volatility. Moreover, a number of studies have shown that time-...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Frontiers Media S.A.
2022-08-01
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| Series: | Frontiers in Environmental Science |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/articles/10.3389/fenvs.2022.973438/full |