Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models
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 …
use the supposedly efficient price formation mechanism of an organized exchange to …
Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme
This paper studies the three main markets for emission allowances within the European
Union Emissions Trading Scheme (EU ETS): Powernext, Nord Pool and European Climate …
Union Emissions Trading Scheme (EU ETS): Powernext, Nord Pool and European Climate …
What policy adjustments in the EU ETS truly affected the carbon prices?
Y Fan, JJ Jia, X Wang, JH Xu - Energy Policy, 2017 - Elsevier
Carbon market becomes increasingly popular as a cost-effective instrument to mitigate CO 2
emissions. However, its construction is a learning-by-doing process, and needs consistent …
emissions. However, its construction is a learning-by-doing process, and needs consistent …
From fundamentals to financial assets: the evolution of understanding price formation in the EU ETS
Price formation in the EU Emission Trading System (EU ETS) has persistently puzzled
economists and policy makers. In recent years, the empirical literature investigating this topic …
economists and policy makers. In recent years, the empirical literature investigating this topic …
Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis
D Rittler - Journal of Banking & Finance, 2012 - Elsevier
This paper models the relationship of European Union Allowance spot-and futures-prices
within the second commitment period of the European Union emissions trading scheme …
within the second commitment period of the European Union emissions trading scheme …
[BOOK][B] Routledge handbook of social and sustainable finance
OM Lehner - 2016 - api.taylorfrancis.com
Routledge Handbook of Social and Sustainable Finance brings together an international
cast of leading authorities to map out and display the disparate voices, traditions and …
cast of leading authorities to map out and display the disparate voices, traditions and …
The relationship between European electricity markets and emission allowance futures prices in phase II of the EU (European Union) emission trading scheme
A Boersen, B Scholtens - Energy, 2014 - Elsevier
We investigate how electricity markets relate to emission allowance prices. We analyze the
price determinants of the European Allowance Units' returns and account for exchange …
price determinants of the European Allowance Units' returns and account for exchange …
Exploring the price dynamics of CO2 emissions allowances in China's emissions trading scheme pilots
K Chang, P Pei, C Zhang, X Wu - Energy Economics, 2017 - Elsevier
Establishing regional emissions trading scheme pilots in China is a newly transformative
and explorative practice. In this paper, we examine the spot price dynamics, asymmetric …
and explorative practice. In this paper, we examine the spot price dynamics, asymmetric …
Modeling EU allowances and oil market interdependence. Implications for portfolio management
JC Reboredo - Energy Economics, 2013 - Elsevier
This paper examines the dependence structure between European Union allowances
(EUAs) and crude oil markets during the second commitment period of the European Union …
(EUAs) and crude oil markets during the second commitment period of the European Union …
Nonlinearities in carbon spot-futures price relationships during Phase II of the EU ETS
This paper uses the Vector Autoregressive (VAR) model and the Switching Transition
Regression-Exponential GARCH models (STR-EGARCH) to examine the dynamic …
Regression-Exponential GARCH models (STR-EGARCH) to examine the dynamic …