Variance risk-premia in CO2 markets
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DOI: 10.1016/j.econmod.2012.12.017
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Cited by:
- repec:spr:ieaple:v:18:y:2018:i:5:d:10.1007_s10784-018-9411-3 is not listed on IDEAS
- 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.
- repec:eee:ecmode:v:71:y:2018:i:c:p:68-79 is not listed on IDEAS
- 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.
More about this item
Keywords
Variance risk-premia; CO2 market; Model-free implied volatility; Realized volatility; Forecasting; EUA; CER; EU ETS; CDM; Energy volatilities;JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G1 - Financial Economics - - General Financial Markets
- Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
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