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Carbon price volatility: Evidence from EU ETS

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  1. Zhu, Bangzhu & Ma, Shujiao & Chevallier, Julien & Wei, Yiming, 2014. "Modelling the dynamics of European carbon futures price: A Zipf analysis," Economic Modelling, Elsevier, vol. 38(C), pages 372-380.
  2. Chen, Yingqi & Ba, Shusong & Yang, Qing & Yuan, Tian & Zhao, Haibo & Zhou, Ming & Bartocci, Pietro & Fantozzi, Francesco, 2021. "Efficiency of China’s carbon market: A case study of Hubei pilot market," Energy, Elsevier, vol. 222(C).
  3. Zhao, Xin-gang & Jiang, Gui-wu & Nie, Dan & Chen, Hao, 2016. "How to improve the market efficiency of carbon trading: A perspective of China," Renewable and Sustainable Energy Reviews, Elsevier, vol. 59(C), pages 1229-1245.
  4. Zhou, Xinxing & Gao, Yan & Wang, Ping & Zhu, Bangzhu & Wu, Zhanchi, 2022. "Does herding behavior exist in China's carbon markets?," Applied Energy, Elsevier, vol. 308(C).
  5. Yifei Hua & Feng Dong, 2019. "China’s Carbon Market Development and Carbon Market Connection: A Literature Review," Energies, MDPI, vol. 12(9), pages 1-25, May.
  6. Agustín García & Agustín García & Miguel A. Jaramillo-Morán, 2020. "Short-term European Union Allowance price forecasting with artificial neural networks," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 8(1), pages 261-275, September.
  7. Yuanfeng Hu & Yixiang Tian & Luping Zhang, 2023. "Green Bond Pricing and Optimization Based on Carbon Emission Trading and Subsidies: From the Perspective of Externalities," Sustainability, MDPI, vol. 15(10), pages 1-20, May.
  8. Zhen-Hua Feng & Chun-Feng Liu & Yi-Ming Wei, 2011. "How does carbon price change? Evidences from EU ETS," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 35(2/3/4), pages 132-144.
  9. Hintermann, Beat & Peterson, Sonja & Rickels, Wilfried, 2014. "Price and market behavior in Phase II of the EU ETS," Kiel Working Papers 1962, Kiel Institute for the World Economy (IfW Kiel).
  10. Meng, Ming & Niu, Dongxiao, 2012. "Three-dimensional decomposition models for carbon productivity," Energy, Elsevier, vol. 46(1), pages 179-187.
  11. Yinpeng Zhang & Zhixin Liu & Yingying Xu, 2018. "Carbon price volatility: The case of China," PLOS ONE, Public Library of Science, vol. 13(10), pages 1-15, October.
  12. Xie, Qiwei & Hao, Jingjing & Li, Jingyu & Zheng, Xiaolong, 2022. "Carbon price prediction considering climate change: A text-based framework," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 382-401.
  13. Miguel A. Jaramillo-Morán & Agustín García-García, 2019. "Applying Artificial Neural Networks to Forecast European Union Allowance Prices: The Effect of Information from Pollutant-Related Sectors," Energies, MDPI, vol. 12(23), pages 1-18, November.
  14. Byun, Suk Joon & Cho, Hangjun, 2013. "Forecasting carbon futures volatility using GARCH models with energy volatilities," Energy Economics, Elsevier, vol. 40(C), pages 207-221.
  15. Fu, Yang & Zheng, Zeyu, 2020. "Volatility modeling and the asymmetric effect for China’s carbon trading pilot market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).
  16. Marc Lamphiere & Jonathan Blackledge & Derek Kearney, 2021. "Carbon Futures Trading and Short-Term Price Prediction: An Analysis Using the Fractal Market Hypothesis and Evolutionary Computing," Mathematics, MDPI, vol. 9(9), pages 1-32, April.
  17. Zhu, Jiaming & Wu, Peng & Chen, Huayou & Liu, Jinpei & Zhou, Ligang, 2019. "Carbon price forecasting with variational mode decomposition and optimal combined model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 519(C), pages 140-158.
  18. Wang, Xiao-Qing & Su, Chi-Wei & Lobonţ, Oana-Ramona & Li, Hao & Nicoleta-Claudia, Moldovan, 2022. "Is China's carbon trading market efficient? Evidence from emissions trading scheme pilots," Energy, Elsevier, vol. 245(C).
  19. Gavard, Claire & Kirat, Djamel, 2018. "Flexibility in the market for international carbon credits and price dynamics difference with European allowances," Energy Economics, Elsevier, vol. 76(C), pages 504-518.
  20. Qingjie Zhou & Panpan Zhu & Yinpeng Zhang, 2023. "Contagion Spillover from Bitcoin to Carbon Futures Pricing: Perspective from Investor Attention," Energies, MDPI, vol. 16(2), pages 1-22, January.
  21. Feng, Zhen-Hua & Wei, Yi-Ming & Wang, Kai, 2012. "Estimating risk for the carbon market via extreme value theory: An empirical analysis of the EU ETS," Applied Energy, Elsevier, vol. 99(C), pages 97-108.
  22. Fan, Xinghua & Lv, Xiangxiang & Yin, Jiuli & Tian, Lixin & Liang, Jiaochen, 2019. "Multifractality and market efficiency of carbon emission trading market: Analysis using the multifractal detrended fluctuation technique," Applied Energy, Elsevier, vol. 251(C), pages 1-1.
  23. Cummins, Mark, 2013. "EU ETS market interactions: The case for multiple hypothesis testing approaches," Applied Energy, Elsevier, vol. 111(C), pages 701-709.
  24. Zheng, Zeyu & Xiao, Rui & Shi, Haibo & Li, Guihong & Zhou, Xiaofeng, 2015. "Statistical regularities of Carbon emission trading market: Evidence from European Union allowances," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 426(C), pages 9-15.
  25. Fan, Xinghua & Li, Shasha & Tian, Lixin, 2016. "Complexity of carbon market from multi-scale entropy analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 452(C), pages 79-85.
  26. Carlo Mari, 2020. "Stochastic NPV Based vs Stochastic LCOE Based Power Portfolio Selection Under Uncertainty," Energies, MDPI, vol. 13(14), pages 1-18, July.
  27. Sun, Wei & Zhang, Junjian, 2022. "A novel carbon price prediction model based on optimized least square support vector machine combining characteristic-scale decomposition and phase space reconstruction," Energy, Elsevier, vol. 253(C).
  28. Zhao, Xin-gang & Wu, Lei & Li, Ang, 2017. "Research on the efficiency of carbon trading market in China," Renewable and Sustainable Energy Reviews, Elsevier, vol. 79(C), pages 1-8.
  29. Chang, Kai & Chen, Rongda & Chevallier, Julien, 2018. "Market fragmentation, liquidity measures and improvement perspectives from China's emissions trading scheme pilots," Energy Economics, Elsevier, vol. 75(C), pages 249-260.
  30. Wang, Jiqian & Guo, Xiaozhu & Tan, Xueping & Chevallier, Julien & Ma, Feng, 2023. "Which exogenous driver is informative in forecasting European carbon volatility: Bond, commodity, stock or uncertainty?," Energy Economics, Elsevier, vol. 117(C).
  31. Chaton, Corinne & Creti, Anna & Peluchon, Benoît, 2015. "Banking and back-loading emission permits," Energy Policy, Elsevier, vol. 82(C), pages 332-341.
  32. Tsai, Ming-Tang & Yen, Chih-Wei, 2011. "The influence of carbon dioxide trading scheme on economic dispatch of generators," Applied Energy, Elsevier, vol. 88(12), pages 4811-4816.
  33. Bao-jun Tang & Cheng Shen & Yi-fan Zhao, 2015. "Market risk in carbon market: an empirical analysis of the EUA and sCER," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 75(2), pages 333-346, February.
  34. Chang-Jing Ji & Xiao-Yi Li & Yu-Jie Hu & Xiang-Yu Wang & Bao-Jun Tang, 2019. "Research on carbon price in emissions trading scheme: a bibliometric analysis," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 99(3), pages 1381-1396, December.
  35. Lin, Boqiang & Xu, Bin, 2021. "A non-parametric analysis of the driving factors of China's carbon prices," Energy Economics, Elsevier, vol. 104(C).
  36. Mari, Carlo, 2014. "Hedging electricity price volatility using nuclear power," Applied Energy, Elsevier, vol. 113(C), pages 615-621.
  37. Quande Qin & Huangda He & Li Li & Ling-Yun He, 2020. "A Novel Decomposition-Ensemble Based Carbon Price Forecasting Model Integrated with Local Polynomial Prediction," Computational Economics, Springer;Society for Computational Economics, vol. 55(4), pages 1249-1273, April.
  38. Cao, Guangxi & Xu, Wei, 2016. "Multifractal features of EUA and CER futures markets by using multifractal detrended fluctuation analysis based on empirical model decomposition," Chaos, Solitons & Fractals, Elsevier, vol. 83(C), pages 212-222.
  39. Bangzhu Zhu, 2012. "A Novel Multiscale Ensemble Carbon Price Prediction Model Integrating Empirical Mode Decomposition, Genetic Algorithm and Artificial Neural Network," Energies, MDPI, vol. 5(2), pages 1-16, February.
  40. Mengfei Jiang & Xi Liang & David Reiner & Boqiang Lin & Maosheng Duan, 2018. "Stakeholder Views on Interactions between Low-carbon Policies and Carbon Markets in China: Lessons from the Guangdong ETS," Working Papers EPRG 1805, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge.
  41. Carlo Mari, 2018. "CO 2 Price Volatility Effects on Optimal Power System Portfolios," Energies, MDPI, vol. 11(7), pages 1-18, July.
  42. Rita Sousa & Luís Francisco Aguiar-Conraria & Maria Joana Soares, 2014. "Carbon and Energy Prices: Surfing the Wavelets of California," NIPE Working Papers 19/2014, NIPE - Universidade do Minho.
  43. Bangzhu Zhu & Ping Wang & Julien Chevallier & Yiming Wei, 2015. "Carbon Price Analysis Using Empirical Mode Decomposition," Computational Economics, Springer;Society for Computational Economics, vol. 45(2), pages 195-206, February.
  44. Liu, Xiaojia & An, Haizhong & Wang, Lijun & Jia, Xiaoliang, 2017. "An integrated approach to optimize moving average rules in the EUA futures market based on particle swarm optimization and genetic algorithms," Applied Energy, Elsevier, vol. 185(P2), pages 1778-1787.
  45. Li, Guangyao & Yang, Jin & Chen, Dingjiang & Hu, Shanying, 2017. "Impacts of the coming emission trading scheme on China’s coal-to-materials industry in 2020," Applied Energy, Elsevier, vol. 195(C), pages 837-849.
  46. Zhi-Fu Mi & Yue-Jun Zhang, 2011. "Estimating the 'value at risk' of EUA futures prices based on the extreme value theory," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 35(2/3/4), pages 145-157.
  47. Dai, Hancheng & Xie, Yang & Liu, Jingyu & Masui, Toshihiko, 2018. "Aligning renewable energy targets with carbon emissions trading to achieve China's INDCs: A general equilibrium assessment," Renewable and Sustainable Energy Reviews, Elsevier, vol. 82(P3), pages 4121-4131.
  48. George A. Gonzalez, 2016. "Transforming Energy: Solving Climate Change with Technology Policy . New York : Cambridge University Press . 360 pages. ISBN 9781107614970, $29.99 paperback. Anthony Patt , 2015 ," Review of Policy Research, Policy Studies Organization, vol. 33(1), pages 111-113, January.
  49. Mu, Yaqian & Evans, Samuel & Wang, Can & Cai, Wenjia, 2018. "How will sectoral coverage affect the efficiency of an emissions trading system? A CGE-based case study of China," Applied Energy, Elsevier, vol. 227(C), pages 403-414.
  50. Zhou, P. & Zhang, L. & Zhou, D.Q. & Xia, W.J., 2013. "Modeling economic performance of interprovincial CO2 emission reduction quota trading in China," Applied Energy, Elsevier, vol. 112(C), pages 1518-1528.
  51. Alexander Zeitlberger & Alexander Brauneis, 2016. "Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(1), pages 149-176, March.
  52. Claudia Kettner & Daniela Kletzan-Slamanig & Angela Köppl, 2015. "The EU Emission Trading Scheme: sectoral allocation and factors determining emission changes," Journal of Environmental Economics and Policy, Taylor & Francis Journals, vol. 4(1), pages 1-14, March.
  53. García-Martos, Carolina & Rodríguez, Julio & Sánchez, María Jesús, 2013. "Modelling and forecasting fossil fuels, CO2 and electricity prices and their volatilities," Applied Energy, Elsevier, vol. 101(C), pages 363-375.
  54. Palao, Fernando & Pardo, Angel, 2012. "Assessing price clustering in European Carbon Markets," Applied Energy, Elsevier, vol. 92(C), pages 51-56.
  55. Carlo Lucheroni & Carlo Mari, 2021. "Internal hedging of intermittent renewable power generation and optimal portfolio selection," Annals of Operations Research, Springer, vol. 299(1), pages 873-893, April.
  56. Peng Chen & Andrew Vivian & Cheng Ye, 2022. "Forecasting carbon futures price: a hybrid method incorporating fuzzy entropy and extreme learning machine," Annals of Operations Research, Springer, vol. 313(1), pages 559-601, June.
  57. Wu, Rui & Dai, Hancheng & Geng, Yong & Xie, Yang & Masui, Toshihiko & Tian, Xu, 2016. "Achieving China’s INDC through carbon cap-and-trade: Insights from Shanghai," Applied Energy, Elsevier, vol. 184(C), pages 1114-1122.
  58. Xintong Wu & Zhendong Li & Fangcheng Tang, 2022. "The Effect of Carbon Price Volatility on Firm Green Transitions: Evidence from Chinese Manufacturing Listed Firms," Energies, MDPI, vol. 15(20), pages 1-11, October.
  59. Song, Xiangnan & Lu, Yujie & Shen, Liyin & Shi, Xunpeng, 2018. "Will China's building sector participate in emission trading system? Insights from modelling an owner's optimal carbon reduction strategies," Energy Policy, Elsevier, vol. 118(C), pages 232-244.
  60. Huang, Yumeng & Dai, Xingyu & Wang, Qunwei & Zhou, Dequn, 2021. "A hybrid model for carbon price forecastingusing GARCH and long short-term memory network," Applied Energy, Elsevier, vol. 285(C).
  61. Yue-Jun Zhang, 2016. "Research on carbon emission trading mechanisms: current status and future possibilities," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 39(1/2), pages 89-107.
  62. Carlo Lucheroni & Carlo Mari, 2018. "Optimal Integration of Intermittent Renewables: A System LCOE Stochastic Approach," Energies, MDPI, vol. 11(3), pages 1-21, March.
  63. Liu, Siyao & Fang, Wei & Gao, Xiangyun & Wang, Ze & An, Feng & Wen, Shaobo, 2020. "Self-similar behaviors in the crude oil market," Energy, Elsevier, vol. 211(C).
  64. Weng, Zhixiong & Liu, Tingting & Wu, Yufeng & Cheng, Cuiyun, 2022. "Air quality improvement effect and future contributions of carbon trading pilot programs in China," Energy Policy, Elsevier, vol. 170(C).
  65. Zhou, Kaile & Yang, Shanlin & Shao, Zhen, 2016. "Energy Internet: The business perspective," Applied Energy, Elsevier, vol. 178(C), pages 212-222.
  66. Zhu, Bangzhu & Han, Dong & Wang, Ping & Wu, Zhanchi & Zhang, Tao & Wei, Yi-Ming, 2017. "Forecasting carbon price using empirical mode decomposition and evolutionary least squares support vector regression," Applied Energy, Elsevier, vol. 191(C), pages 521-530.
  67. Carmichael, David G. & Ballouz, Joseph J. & Balatbat, Maria C.A., 2015. "Improving the attractiveness of CDM projects through allowing and incorporating options," Energy Policy, Elsevier, vol. 86(C), pages 784-791.
  68. Tan, Xue-Ping & Wang, Xin-Yu, 2017. "Dependence changes between the carbon price and its fundamentals: A quantile regression approach," Applied Energy, Elsevier, vol. 190(C), pages 306-325.
  69. Claudia Kettner & Daniela Kletzan-Slamanig & Angela Köppl & Thomas Schinko & Andreas Türk, 2011. "ETCLIP – The Challenge of the European Carbon Market: Emission Trading, Carbon Leakage and Instruments to Stabilise the CO2 Price. Price Volatility in Carbon Markets: Why it Matters and How it Can be ," WIFO Working Papers 409, WIFO.
  70. Cheng, Yongwei & Fan, Tijun, 2021. "Production coopetition strategies for an FV automaker and a competitive NEV automaker under the dual-credit policy," Omega, Elsevier, vol. 103(C).
  71. Getachew Nigatu, 2016. "Assessing the effects of climate change policy on the volatility of carbon prices in reference to the Great Recession," Journal of Environmental Economics and Policy, Taylor & Francis Journals, vol. 5(2), pages 200-215, July.
  72. Crossland, Jarrod & Li, Bin & Roca, Eduardo, 2013. "Is the European Union Emissions Trading Scheme (EU ETS) informationally efficient? Evidence from momentum-based trading strategies," Applied Energy, Elsevier, vol. 109(C), pages 10-23.
  73. Hao Chen & Zhixin Liu & Yinpeng Zhang & You Wu, 2020. "The Linkages of Carbon Spot-Futures: Evidence from EU-ETS in the Third Phase," Sustainability, MDPI, vol. 12(6), pages 1-18, March.
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