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A scenario-based integrated approach for modeling carbon price risk

Author

Listed:
  • Zili Zhu
  • Paul Graham
  • Luke Reedman
  • Thomas Lo

Abstract

No abstract is available for this item.

Suggested Citation

  • Zili Zhu & Paul Graham & Luke Reedman & Thomas Lo, 2009. "A scenario-based integrated approach for modeling carbon price risk," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 32(1), pages 35-48, May.
    • Handle: RePEc:spr:decfin:v:32:y:2009:i:1:p:35-48
    DOI: 10.1007/s10203-009-0086-7
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    Citations

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    Cited by:

    1. Prilly Oktoviany & Robert Knobloch & Ralf Korn, 2021. "A machine learning-based price state prediction model for agricultural commodities using external factors," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 1063-1085, December.
    2. repec:ipg:wpaper:2014-565 is not listed on IDEAS
    3. Julien Chevallier & Benoît Sévi, 2014. "On the Stochastic Properties of Carbon Futures Prices," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 58(1), pages 127-153, May.
    4. Song, Yazhi & Liu, Tiansen & Liang, Dapeng & Li, Yin & Song, Xiaoqiu, 2019. "A Fuzzy Stochastic Model for Carbon Price Prediction Under the Effect of Demand-related Policy in China's Carbon Market," Ecological Economics, Elsevier, vol. 157(C), pages 253-265.
    5. Zhou, Zhifang & Xiao, Tian & Chen, Xiaohong & Wang, Chang, 2016. "A carbon risk prediction model for Chinese heavy-polluting industrial enterprises based on support vector machine," Chaos, Solitons & Fractals, Elsevier, vol. 89(C), pages 304-315.
    6. Julien Chevallier & Stéphane Goutte, 2014. "The goodness-of-fit of the fuel-switching price using the mean-reverting Lévy jump process," Working Papers 2014-285, Department of Research, Ipag Business School.

    More about this item

    Keywords

    Carbon trading; Carbon-price; Real-option; Forecasting; Scenario analysis; Mean-reversion models; C63;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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