Missing trader fraud on the emissions market
AbstractThe aim of this paper is to show evidence and to quantify with forensic econometric methods the impact of the missing trader fraud on European carbon allowances markets. This fraud occurred mainly between the end of 2008 and the beginning of 2009. In this paper, we explore the financial mechanisms of the fraud and the impact on the market behaviour as well as the consequences on its econometric features.
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Bibliographic InfoPaper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00523512.
Date of creation: Aug 2010
Date of revision:
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COE; Econometrie; fraud.;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-10-16 (All new papers)
- NEP-ENE-2010-10-16 (Energy Economics)
- NEP-ENV-2010-10-16 (Environmental Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Marius-Cristian Frunza & Dominique Guegan & Antonin Lassoudière, 2010. "Dynamic factor analysis of carbon allowances prices : From classic Arbitrage Pricing Theory to Switching Regimes," Documents de travail du Centre d'Economie de la Sorbonne 10062, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Chang Woon Nam & Rüdiger Parsche & Barbara Schaden, 2001. "Measurement of Value Added Tax Evasion in Selected EU Countries on the Basis of National Accounts Data," CESifo Working Paper Series 431, CESifo Group Munich.
- Marius-Cristian Frunza & Dominique Guegan & Antonin Lassoudière, 2010. "Dynamic factor analysis of carbon allowances prices: From classic Arbitrage Pricing Theory to Switching Regimes," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00505145, HAL.
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