Essays about: "Volatility Impulse Response Function"

Found 3 essays containing the words Volatility Impulse Response Function.

  1. 1. Volatility spillover between electricity, carbon emissions and green certificates: A Nordic case study

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Kajsa Ganhammar; [2020]
    Keywords : volatility spillover; green certificates; carbon pricing; electricity; VIRF; Business and Economics;

    Abstract : This study investigates volatility spillover between the prices of electricity at Nord Pool, carbon emission allowances in the EU Emissions Trading System (EU ETS) and tradable green certificates (TGC) in the Swedish-Norwegian TGC market. ETS and TGC schemes are market-based policies with the overlapping goals of mitigating greenhouse gas emissions and stimulating sustainable energy investments. READ MORE

  3. 2. On the Sources of the Great Moderation in Italy - A Time Varying VAR Approach

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Giovanni Sciacovelli; [2018]
    Keywords : Bayesian Estimation; Great Moderation; Italy; Time Varying Parameters; Vector Autoregression Analysis;

    Abstract : The Great Moderation, a long-lasting period of reduced fluctuations in key macroeconomic variables, has attracted the attention of many scholars because of the positive outcomes associated with low volatility. The aim of these studies has mainly been to identify the ultimate source of this phenomenon. READ MORE

  4. 3. Volatility Spillovers between Stock and Bond Returns: Evidence from Nordic Countries

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Olof Thorstensson; [2018]
    Keywords : Volatility spillover; stocks; bonds; BEKK; Volatility Impulse Response Function; Business and Economics;

    Abstract : This paper uses a bivariate BEKK model to estimate volatility spillover effects between stock and bond markets for the Nordic countries Sweden, Denmark, Finland and Norway. Daily log returns between the years 2001 and 2018 are analyzed. READ MORE