Stochastic volatility of the futures prices of emission allowances: A Bayesian approach
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- 作者：Jungmu Kima ; Yuen Jung Parkb ; yjpark@hallym.ac.kr" class="auth_mail" title="E-mail the corresponding author ; Doojin Ryuc ; sharpjin@skku.edu" class="auth_mail" title="E-mail the corresponding author
- 关键词：MCMC ; EUA futures ; Stochastic volatility ; Jump model
- 刊名：Physica A: Statistical Mechanics and its Applications
- 出版年：2017
- 出版时间：1 January 2017
- 年：2017
- 卷：465
- 期：Complete
- 页码：714-724
- 全文大小：781 K
文摘
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We investigate the nature of the volatility of EUA futures prices.
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The MCMC estimation reveals that the EUA volatility evolves stochastically over time.
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Jumps in returns and volatility are especially pronounced at around the beginning of Phase III.