This paper thoroughly investigates the price dynamics of carbon spot and futures returns for the first commitment period ranging from 2008 to 2012 with the aim to develop an adequate spot-returns-model. We apply a broad spectrum of various GARCH models including different distributions for model innovations. Both time series, spot and futures returns, exhibit asymmetric behavior in their varian...

For the presence of non-normal distribution characteristics in the financial assets returns, the model of AR(1)-GJR(1,1) is used to characterize the marginal distribution of the style assets in China stock market. The Copula function is introduced to analyze the dependency structure between the six style assets, combined with the marginal distributed residual sequences. And the joint return dis...

Ecological patent registrations have been increasing in the USA steadily over time. The paper analyses trends and volatility in US ecological patents in the USA from 1975 to 1997. Germany contributed more than 10% of the total number of US ecological patents, and has been by far the strongest foreign performer. The time-varying nature of the volatility of the ecological patent share, namely the...

When using trees to price options, the standard practice is to increase the number of partitions per day, n, to improve accuracy. But increasing n incurs computational overhead. In fact, raising n makes the popular Ritchken-Trevor tree under non-linear GARCH (NGARCH) grow exponentially when n exceeds a typically small threshold. Worse, when this happens, the tree cannot grow beyond a certain ma...

This paper analyses the asymmetric volatility in Japanese electronics and electrical equipment (hereafter, electronics) patents in the USA from 1975 to 1997. The number of patents has been increasing steadily over time and the electronics industry has a 30% share of total Japanese patents in the USA. Thus, such patents reflect a strategic development by Japanese companies for the US market. The...

This paper aims to investigate the impact of various COVID-19 pandemic waves on real estate stock returns and their volatility in developed (US, Australia), emerging (Turkey, Poland), frontier (Morocco, Jordan) markets. A study using a GJR-GARCHX model revealed that outbreak had limited company stocks. The first wave only US caused decline returns. In turn, this was case Poland Jordan during se...

Este trabalho apresenta uma nova metodologia de suporte às ações efetivas manutenção ativos para o sistema excitação dos geradores da Usina Hidrelétrica Governador José Richa (UHE-GJR). A proposta é baseada em análise Fuzzy-FMECA. O modelo desenvolvido permite a busca por possíveis aperfeiçoamentos nas atividades contemplando otimização recursos humanos e materiais, com foco na confiabilidade d...

This paper derives the analytic form of multi-step ahead prediction density a Gaussian GARCH(1,1) process with possibly asymmetric news impact curve in GJR class. These results can be applied when single-period returns are modeled as and interest lies at some future forecast horizon. The has been used applications an approximation to this yet unknown density; derived here shows that density, wh...