Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models

M Segnon, T Lux, R Gupta - Renewable and Sustainable Energy Reviews, 2017 - Elsevier
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 …

Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme

G Daskalakis, D Psychoyios, RN Markellos - Journal of Banking & Finance, 2009 - Elsevier
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 …

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 …

From fundamentals to financial assets: the evolution of understanding price formation in the EU ETS

M Friedrich, EM Mauer, M Pahle, O Tietjen - 2020 - econstor.eu
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 …

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 …

[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 …

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 …

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 …

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 …

Nonlinearities in carbon spot-futures price relationships during Phase II of the EU ETS

MEH Arouri, F Jawadi, DK Nguyen - Economic Modelling, 2012 - Elsevier
This paper uses the Vector Autoregressive (VAR) model and the Switching Transition
Regression-Exponential GARCH models (STR-EGARCH) to examine the dynamic …