Essays about: "Franziska Manke"

Found 1 essay containing the words Franziska Manke.

  1. 1. Emission Allowances in the European Union Emissions Trading System

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Franziska Manke; [2020]
    Keywords : Emission Allowances; EU ETS; Volatility; GARCH; Cointegration;

    Abstract : The first part of the thesis analyses the short term behavior of daily emission allowance (EUA) log returns with a focus on volatility dynamics in the recent market environment. In this part, I present a historical overview of the European Union Emission Trading System (EU ETS), analyze the stylized facts of the time series, employ appropriate time series models, and assess model in-sample and out-of-sample performance. READ MORE