The ICE Carbon (EUC) and Brent Oil Contracts: Volatility (Co-)Movements and Forecasts

dc.contributor.author	Solibakke, Per Bjarte
dc.date.accessioned	2022-02-28T14:27:26Z
dc.date.available	2022-02-28T14:27:26Z
dc.date.created	2021-12-16T10:46:22Z
dc.date.issued	2021
dc.identifier.isbn	9788215055602
dc.identifier.uri	https://hdl.handle.net/11250/2981790
dc.description.abstract	This research looks at the conditional mean and volatility densities for the nearest maturities of renewable Carbon and fossil Brent Oil Futures contracts. The primary goal is to characterize the features of volatility across commodity financial markets. Serial and cross-correlation are reported via a Kalman filter and the explicit volatility projection. The enhanced cross-lags should supplement available derivative trading strategies with step-ahead volatility information.	en_US
dc.language.iso	eng	en_US
dc.publisher	Universitetsforlaget	en_US
dc.relation.ispartof	Bidrag innen kundeverdi og marked : Festskrift til Øyvind Helgesen
dc.rights	Navngivelse 4.0 Internasjonal	*
dc.rights.uri	http://creativecommons.org/licenses/by/4.0/deed.no	*
dc.title	The ICE Carbon (EUC) and Brent Oil Contracts: Volatility (Co-)Movements and Forecasts	en_US
dc.type	Chapter	en_US
dc.description.version	publishedVersion	en_US
dc.source.pagenumber	109-128	en_US
dc.identifier.doi	10.18261/9788215055596-2021-06
dc.identifier.cristin	1969312
cristin.ispublished	true
cristin.fulltext	original
cristin.qualitycode	1

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