On the Stochastic Properties of Carbon Futures Prices
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DOI: 10.1007/s10640-013-9695-2
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- Julien Chevallier & Benoît Sévi, 2014. "On the Stochastic Properties of Carbon Futures Prices," Post-Print hal-01474249, HAL.
- Julien Chevallier & Benoît Sévi, 2012. "On the Stochastic Properties of Carbon Futures Prices," Working Papers halshs-00720166, HAL.
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Citations
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Cited by:
- Karpf, Andreas & Mandel, Antoine & Battiston, Stefano, 2018.
"Price and network dynamics in the European carbon market,"
Journal of Economic Behavior & Organization, Elsevier, vol. 153(C), pages 103-122.
- Andreas Karpf & Antoine Mandel & Stefano Battiston, 2017. "Price and Network Dynamics in the European Carbon Market," Documents de travail du Centre d'Economie de la Sorbonne 17010, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Andreas Karpf & Antoine Mandel & Stefano Battiston, 2018. "Price and network dynamics in the European carbon market," Post-Print halshs-01905985, HAL.
- Andreas Karpf & Antoine Mandel & Stefano Battiston, 2018. "Price and network dynamics in the European carbon market," PSE-Ecole d'économie de Paris (Postprint) halshs-01905985, HAL.
- Andreas Karpf & Antoine Mandel & Stefano Battiston, 2018. "Price and network dynamics in the European carbon market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01905985, HAL.
- Andreas Karpf & Antoine Mandel & Stefano Battiston, 2017. "Price and Network Dynamics in the European Carbon Market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01484117, HAL.
- Andreas Karpf & Antoine Mandel & Stefano Battiston, 2017. "Price and Network Dynamics in the European Carbon Market," Post-Print halshs-01484117, HAL.
- Zied Ftiti & Aviral Tiwari & Amél Belanès & Khaled Guesmi, 2014.
"Tests of Financial Market Contagion: Evolutionary Cospectral Analysis V.S. Wavelet Analysis,"
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2014-577, Department of Research, Ipag Business School.
- Zied Ftiti & Aviral Tiwari & Amél Belanès, 2014. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis V.S. Wavelet Analysis," Working Papers 2014-62, Department of Research, Ipag Business School.
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- 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.
- Mason, Charles F. & A. Wilmot, Neil, 2014.
"Jump processes in natural gas markets,"
Energy Economics, Elsevier, vol. 46(S1), pages 69-79.
- Charles F. Mason & Neil Wilmot, 2014. "Jump Processes in Natural Gas Markets," CESifo Working Paper Series 4604, CESifo.
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- Balcılar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2016.
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Energy Economics, Elsevier, vol. 54(C), pages 159-172.
- Mehmet Balcilar & Riza Demirer & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Risk Spillovers across the Energy and Carbon Markets and Hedging Strategies for Carbon Risk," Working Papers 15-10, Eastern Mediterranean University, Department of Economics.
- Coleman, Andrew, 2018. "Forest-based carbon sequestration, and the role of forward, futures, and carbon-lending markets: A comparative institutions approach," Journal of Forest Economics, Elsevier, vol. 33(C), pages 95-104.
- 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.
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More about this item
Keywords
Carbon price; Stochastic modeling; Activity signature function; C14; C32; G1; Q4;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G1 - Financial Economics - - General Financial Markets
- Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
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