This paper uses the Markov-switching multifractal (MSM) model and generalized
autoregressive conditional heteroscedasticity (GARCH)-type models to forecast
oil price volatility over the time periods from January 02, 1875 ...
The nancial crisis has fueled interest in alternatives to traditional
asset classes that might be less a ected by large market gyrations and,
thus, provide for a less volatile development of a portfolio. One attempt
at ...
The launch of the markets for carbon dioxide emission allowances was guided by the aim to use the supposedly
efficient price formation mechanism of an organized exchange to optimally allocate a certain quantity of
emissions ...
