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Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event

Citations

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Cited by:

  1. Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo, 2013. "Option pricing with discrete time jump processes," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2417-2445.
  2. Julien Chevallier, 2010. "Carbon Prices during the EU ETS Phase II: Dynamics and Volume Analysis," Working Papers halshs-00459140, HAL.
  3. Leon Vinokur, 2009. "Disposition in the Carbon Market and Institutional Constraints," Working Papers 652, Queen Mary University of London, School of Economics and Finance.
  4. 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.
  5. Medina, Vicente & Pardo, Ángel & Pascual, Roberto, 2014. "The timeline of trading frictions in the European carbon market," Energy Economics, Elsevier, vol. 42(C), pages 378-394.
  6. Zhu, Bangzhu & Huang, Liqing & Yuan, Lili & Ye, Shunxin & Wang, Ping, 2020. "Exploring the risk spillover effects between carbon market and electricity market: A bidimensional empirical mode decomposition based conditional value at risk approach," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 163-175.
  7. Jia, Jun-Jun & Xu, Jin-Hua & Fan, Ying, 2016. "The impact of verified emissions announcements on the European Union emissions trading scheme: A bilaterally modified dummy variable modelling analysis," Applied Energy, Elsevier, vol. 173(C), pages 567-577.
  8. Chevallier, Julien & Le Pen, Yannick & Sévi, Benoît, 2011. "Options introduction and volatility in the EU ETS," Resource and Energy Economics, Elsevier, vol. 33(4), pages 855-880.
  9. Shuyi Wang & Zhenhua Wu & Baochen Yang, 2018. "Decision and Performance Analysis of a Price-Setting Manufacturer with Options under a Flexible-Cap Emission Trading Scheme (ETS)," Sustainability, MDPI, vol. 10(10), pages 1-22, October.
  10. Mansanet-Bataller, Maria & Chevallier, Julien & Hervé-Mignucci, Morgan & Alberola, Emilie, 2011. "EUA and sCER phase II price drivers: Unveiling the reasons for the existence of the EUA-sCER spread," Energy Policy, Elsevier, vol. 39(3), pages 1056-1069, March.
  11. Chevallier, Julien, 2011. "A model of carbon price interactions with macroeconomic and energy dynamics," Energy Economics, Elsevier, vol. 33(6), pages 1295-1312.
  12. Lin Yang & Yunfei Yao & Jiutian Zhang & Xian Zhang & Karl McAlinden, 2016. "A CGE analysis of carbon market impact on CO 2 emission reduction in China: a technology-led approach," 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. 81(2), pages 1107-1128, March.
  13. Koop, Gary & Tole, Lise, 2013. "Modeling the relationship between European carbon permits and certified emission reductions," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 166-181.
  14. 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.
  15. Julien Chevallier & Stéphane Goutte, 2017. "Estimation of Lévy-driven Ornstein–Uhlenbeck processes: application to modeling of $$\hbox {CO}_2$$ CO 2 and fuel-switching," Annals of Operations Research, Springer, vol. 255(1), pages 169-197, August.
  16. Julien Chevallier, 2010. "Modelling the convenience yield in carbon prices using daily and realized measures," Working Papers halshs-00463921, HAL.
  17. Julien Chevallier & Benoît Sévi, 2011. "On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting," Annals of Finance, Springer, vol. 7(1), pages 1-29, February.
  18. 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.
  19. John Hua Fan & Eduardo Roca & Alexandr Akimov, 2014. "Estimation and performance evaluation of optimal hedge ratios in the carbon market of the European Union Emissions Trading Scheme," Australian Journal of Management, Australian School of Business, vol. 39(1), pages 73-91, February.
  20. Marcel Gorenflo, 2013. "Futures price dynamics of CO 2 emission allowances," Empirical Economics, Springer, vol. 45(3), pages 1025-1047, December.
  21. Chevallier, Julien, 2011. "Detecting instability in the volatility of carbon prices," Energy Economics, Elsevier, vol. 33(1), pages 99-110, January.
  22. Corina Haita-Falah, 2016. "Uncertainty and speculators in an auction for emissions permits," Journal of Regulatory Economics, Springer, vol. 49(3), pages 315-343, June.
  23. Rannou, Yves, 2019. "Limit order books, uninformed traders and commodity derivatives: Insights from the European carbon futures," Economic Modelling, Elsevier, vol. 81(C), pages 387-410.
  24. repec:dau:papers:123456789/5385 is not listed on IDEAS
  25. repec:ipg:wpaper:2014-422 is not listed on IDEAS
  26. Maria Mansanet-Bataller & Julien Chevallier & Morgan Hervé-Mignucci & Emilie Alberola, 2010. "The EUA-sCER Spread: Compliance Strategies and Arbitrage in the European Carbon Market," Post-Print halshs-00458991, HAL.
  27. Chen, Jiayuan & Muckley, Cal B. & Bredin, Don, 2017. "Is information assimilated at announcements in the European carbon market?," Energy Economics, Elsevier, vol. 63(C), pages 234-247.
  28. Yu, Fei & Grady, Patrick & Knipp, Robert, 2012. "Regulatory Stringency in Issuing Certified Emission Reductions and Price Effects in Secondary Markets," MPRA Paper 50184, University Library of Munich, Germany.
  29. 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.
  30. Jiqiang Wang & Yinpeng Liu & Ying Fan & Jianfeng Guo, 2020. "The Impact of Industry on European Union Emissions Trading Market—From Network Perspective," Energies, MDPI, vol. 13(21), pages 1-16, October.
  31. Fan, Ying & Jia, Jun-Jun & Wang, Xin & Xu, Jin-Hua, 2017. "What policy adjustments in the EU ETS truly affected the carbon prices?," Energy Policy, Elsevier, vol. 103(C), pages 145-164.
  32. 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.
  33. Leon Vinokur, 2009. "Disposition in the Carbon Market and Institutional Constraints," Working Papers 652, Queen Mary University of London, School of Economics and Finance.
  34. Chevallier, Julien, 2013. "Variance risk-premia in CO2 markets," Economic Modelling, Elsevier, vol. 31(C), pages 598-605.
  35. 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.
  36. Bangzhu Zhu & Julien Chevallier & Shujiao Ma & Yiming Wei, 2015. "Examining the structural changes of European carbon futures price 2005-2012," Applied Economics Letters, Taylor & Francis Journals, vol. 22(5), pages 335-342, March.
  37. Hitzemann, Steffen & Uhrig-Homburg, Marliese & Ehrhart, Karl-Martin, 2015. "Emission permits and the announcement of realized emissions: Price impact, trading volume, and volatilities," Energy Economics, Elsevier, vol. 51(C), pages 560-569.
  38. Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2009. "Options introduction and volatility in the EU ETS," Working Papers hal-04140857, HAL.
  39. Lin Yang & Yunfei Yao & Jiutian Zhang & Xian Zhang & Karl J. McAlinden, 2016. "A CGE analysis of carbon market impact on CO2 emission reduction in China: a technology-led approach," 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. 81(2), pages 1107-1128, March.
  40. Carlos Pinho & Mara Madaleno, 2011. "Links between spot and futures allowances: ECX and EEX markets comparison," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 35(2/3/4), pages 101-131.
  41. Bao-Jun Tang & Cheng Shen, 2014. "Carbon market: Systematic risk and expectations of returns-on the comparison analysis of the CDM and EU ETS," CEEP-BIT Working Papers 49, Center for Energy and Environmental Policy Research (CEEP), Beijing Institute of Technology.
  42. Chevallier, Julien, 2011. "Nonparametric modeling of carbon prices," Energy Economics, Elsevier, vol. 33(6), pages 1267-1282.
  43. Yves Rannou & Pascal Barneto & Mohamed Amine Boutabba, 2020. "Green Bond market vs. Carbon market in Europe : Two different trajectories but some complementarities," Working Papers hal-02981422, HAL.
  44. Julien Chevallier & Benoît Sévi, 2009. "On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting," Working Papers hal-04140871, HAL.
  45. repec:dau:papers:123456789/4598 is not listed on IDEAS
  46. Chun, Dohyun & Cho, Hoon & Kim, Jihun, 2022. "The relationship between carbon-intensive fuel and renewable energy stock prices under the emissions trading system," Energy Economics, Elsevier, vol. 114(C).
  47. Zhang, Yue-Jun & Wei, Yi-Ming, 2010. "An overview of current research on EU ETS: Evidence from its operating mechanism and economic effect," Applied Energy, Elsevier, vol. 87(6), pages 1804-1814, June.
  48. Viteva, Svetlana & Veld-Merkoulova, Yulia V. & Campbell, Kevin, 2014. "The forecasting accuracy of implied volatility from ECX carbon options," Energy Economics, Elsevier, vol. 45(C), pages 475-484.
  49. Jianfeng Guo & Bin Su & Guang Yang & Lianyong Feng & Yinpeng Liu & Fu Gu, 2018. "How Do Verified Emissions Announcements Affect the Comoves between Trading Behaviors and Carbon Prices? Evidence from EU ETS," Sustainability, MDPI, vol. 10(9), pages 1-17, September.
  50. Tang, Bao-jun & Shen, Cheng & Gao, Chao, 2013. "The efficiency analysis of the European CO2 futures market," Applied Energy, Elsevier, vol. 112(C), pages 1544-1547.
  51. 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.
  52. Julien Chevallier, 2010. "The European carbon market (2005-2007): banking, pricing and risk-hedging strategies," Working Papers halshs-00458787, HAL.
  53. Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2009. "Options Introduction and Volatility in the EU ETS," Working Papers halshs-00405709, HAL.
  54. Chevallier, Julien, 2010. "Modelling risk premia in CO2 allowances spot and futures prices," Economic Modelling, Elsevier, vol. 27(3), pages 717-729, May.
  55. Julien Chevallier, 2013. "Carbon trading: past, present and future," Chapters, in: Roger Fouquet (ed.), Handbook on Energy and Climate Change, chapter 21, pages 471-489, Edward Elgar Publishing.
  56. repec:dau:papers:123456789/5109 is not listed on IDEAS
  57. Marc Gronwald & Janina Ketterer & Stefan Trück, 2011. "The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis," CESifo Working Paper Series 3418, CESifo.
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