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Modeling persistence of carbon emission allowance prices

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  • Gil-Alana, Luis A.
  • Gupta, Rangan
  • de Gracia, Fernando Perez

Abstract

This study reexamines the issue of persistence in carbon emission allowance spot prices, using daily data, and covering the period from 28/2/2007 to 14/05/2014. For this purpose we use techniques based on the concept of long memory accounting for structural breaks and non-linearities in the data, with both of these aspects potentially affecting the degree of persistence. Our results indicate that, while there is no evidence of non-linearity, when allowing for structural breaks, persistence of shocks to the carbon emission allowance is markedly reduced, with the same being transitory in nature for recent sub-samples.

Suggested Citation

  • Gil-Alana, Luis A. & Gupta, Rangan & de Gracia, Fernando Perez, 2016. "Modeling persistence of carbon emission allowance prices," Renewable and Sustainable Energy Reviews, Elsevier, vol. 55(C), pages 221-226.
  • Handle: RePEc:eee:rensus:v:55:y:2016:i:c:p:221-226
    DOI: 10.1016/j.rser.2015.10.056
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    Cited by:

    1. repec:eee:eneeco:v:67:y:2017:i:c:p:213-223 is not listed on IDEAS
    2. Segnon, Mawuli & Lux, Thomas & Gupta, Rangan, 2017. "Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models," Renewable and Sustainable Energy Reviews, Elsevier, vol. 69(C), pages 692-704.
    3. repec:kap:enreec:v:67:y:2017:i:4:d:10.1007_s10640-016-0009-3 is not listed on IDEAS

    More about this item

    Keywords

    CO2 emission allowance prices; Fractional integration; Nonstationarity;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • Q50 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - General

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