Stylized facts of CO2 returns
AbstractThe listing of a new asset requires the knowledge of its statistical properties prior to its use for hedging, speculative or risk management purposes. In this paper, we study the stylized facts of European Union Allowances (EUAs) returns. The majority of the phenomena observed, such as heavy tails, volatility clustering, asymmetric volatility and the presence of a high number of outliers are similar to those observed in both commodity futures and financial assets. However, properties such as negative asymmetry, positive correlation with stocks indexes and higher volatility levels during the trading session, typical of financial assets, and the existence of inflation hedge and positive correlation with bonds, typical of commodity futures, are also detected. Therefore, our results indicate that EUAs returns do not behave like common commodity futures or financial assets, and point to the fact that EUAs are a new asset class.
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Bibliographic InfoPaper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie AD with number 2012-14.
Length: 32 pages
Date of creation: May 2012
Date of revision:
Publication status: Published by Ivie
European Union Allowances (EUAs); Stylized Fact; Asset Class; Commodity;
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- G1 - Financial Economics - - General Financial Markets
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