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Factors of carbon price volatility in a comparative analysis of the EUA and sCER

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Listed:
  • Bao-jun Tang

    () (Beijing Institute of Technology
    Beijing Institute of Technology)

  • Pi-qin Gong

    (Beijing Institute of Technology
    Beijing Institute of Technology)

  • Cheng Shen

    (China Shipbuilding Industry Research Center)

Abstract

Abstract The paper proposes three hypotheses for the factors of carbon price volatility on the basis of the existing literature, and then uses ensemble empirical model decomposition and variance ratio to analyze the carbon price volatility of the European Union emission trading system (EU ETS) and clean development mechanisms (CDM). The results show that carbon price volatility is mainly affected by the market mechanism and external environment. The frequency of the market mechanism is high, with the duration being $$

Suggested Citation

  • Bao-jun Tang & Pi-qin Gong & Cheng Shen, 2017. "Factors of carbon price volatility in a comparative analysis of the EUA and sCER," Annals of Operations Research, Springer, vol. 255(1), pages 157-168, August.
  • Handle: RePEc:spr:annopr:v:255:y:2017:i:1:d:10.1007_s10479-015-1864-y
    DOI: 10.1007/s10479-015-1864-y
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    References listed on IDEAS

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    1. repec:eee:eneeco:v:76:y:2018:i:c:p:549-557 is not listed on IDEAS
    2. repec:eee:appene:v:235:y:2019:i:c:p:739-746 is not listed on IDEAS
    3. repec:eee:eneeco:v:78:y:2019:i:c:p:301-311 is not listed on IDEAS

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