IDEAS home Printed from https://ideas.repec.org/f/c/pro539.html
   My authors  Follow this author

Waldemar Rotfuß
(Waldemar Rotfuss)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar, 2013. "Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals," ZEW Discussion Papers 13-001 [rev.], ZEW - Leibniz Centre for European Economic Research.

    Cited by:

    1. Luís Aguiar-Conraria & Maria Joana Soares & Rita Sousa, 2017. "California´s Carbon Market and Energy Prices: A Wavelet Analysis," NIPE Working Papers 13/2017, NIPE - Universidade do Minho.
    2. Zhu, Bangzhu & Ye, Shunxin & Han, Dong & Wang, Ping & He, Kaijian & Wei, Yi-Ming & Xie, Rui, 2019. "A multiscale analysis for carbon price drivers," Energy Economics, Elsevier, vol. 78(C), pages 202-216.
    3. Sattarhoff, Cristina & Gronwald, Marc, 2022. "Measuring informational efficiency of the European carbon market — A quantitative evaluation of higher order dependence," International Review of Financial Analysis, Elsevier, vol. 84(C).
    4. Xiangjun Chen & Bo Yan, 2024. "Research on jumps and volatility in China’s carbon market," Economic Change and Restructuring, Springer, vol. 57(1), pages 1-43, February.
    5. Thijs Benschopa & Brenda López Cabrera, 2014. "Volatility Modelling of CO2 Emission Allowance Spot Prices with Regime-Switching GARCH Models," SFB 649 Discussion Papers SFB649DP2014-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    6. Mengrui Zhu & Hua Xu & Xingyu Gao & Minggang Wang & André L. M. Vilela & Lixin Tian, 2022. "Identification of Breakpoints in Carbon Market Based on Probability Density Recurrence Network," Energies, MDPI, vol. 15(15), pages 1-18, July.
    7. Suzi Kerr & Judd Ormsby, 2016. "The New Zealand Emissions Trading Scheme de-link from Kyoto: impacts on banking and prices," Working Papers 16_13, Motu Economic and Public Policy Research.
    8. Fang, Sheng & Lu, Xinsheng & Li, Jianfeng & Qu, Ling, 2018. "Multifractal detrended cross-correlation analysis of carbon emission allowance and stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 551-566.
    9. Agustín García & Agustín García & Miguel A. Jaramillo-Morán, 2020. "Short-term European Union Allowance price forecasting with artificial neural networks," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 8(1), pages 261-275, September.
    10. Zhang, Xi & Li, Jian, 2018. "Credit and market risks measurement in carbon financing for Chinese banks," Energy Economics, Elsevier, vol. 76(C), pages 549-557.
    11. Hintermann, Beat & Peterson, Sonja & Rickels, Wilfried, 2014. "Price and market behavior in Phase II of the EU ETS," Kiel Working Papers 1962, Kiel Institute for the World Economy (IfW Kiel).
    12. Huang, Wenyang & Wang, Huiwen & Qin, Haotong & Wei, Yigang & Chevallier, Julien, 2022. "Convolutional neural network forecasting of European Union allowances futures using a novel unconstrained transformation method," Energy Economics, Elsevier, vol. 110(C).
    13. Federica Cucchiella & Idiano D Adamo & Massimo Gastaldi, 2015. "Profitability Analysis for Biomethane: A Strategic Role in the Italian Transport Sector," International Journal of Energy Economics and Policy, Econjournals, vol. 5(2), pages 440-449.
    14. Xinghua Fan & Ying Zhang & Jiuli Yin, 2018. "Evolutionary Analysis of a Three-Dimensional Carbon Price Dynamic System," Sustainability, MDPI, vol. 11(1), pages 1-15, December.
    15. Gallier, Carlo & Lutz, Benjamin & Brockmann, Karl Ludwig & Dieckhöner, Caroline, 2014. "KfW/ZEW CO2 Barometer 2014 – Carbon Edition: New Phase, Old Problems," KfW/ZEW-CO2-Barometer, ZEW - Leibniz Centre for European Economic Research, number 109799.
    16. Miguel A. Jaramillo-Morán & Agustín García-García, 2019. "Applying Artificial Neural Networks to Forecast European Union Allowance Prices: The Effect of Information from Pollutant-Related Sectors," Energies, MDPI, vol. 12(23), pages 1-18, November.
    17. Wenjun Chu & Shanglei Chai & Xi Chen & Mo Du, 2020. "Does the Impact of Carbon Price Determinants Change with the Different Quantiles of Carbon Prices? Evidence from China ETS Pilots," Sustainability, MDPI, vol. 12(14), pages 1-19, July.
    18. Koch, Nicolas & Fuss, Sabine & Grosjean, Godefroy & Edenhofer, Ottmar, 2014. "Causes of the EU ETS price drop: Recession, CDM, renewable policies or a bit of everything?—New evidence," Energy Policy, Elsevier, vol. 73(C), pages 676-685.
    19. Bai, Yiyi & Okullo, Samuel J., 2023. "Drivers and pass-through of the EU ETS price: Evidence from the power sector," Energy Economics, Elsevier, vol. 123(C).
    20. Lau, Chi Keung & Soliman, Alaa M. & Albasu, Joseph & Gozgor, Giray, 2023. "Dependence structures among geopolitical risks, energy prices, and carbon emissions prices," Resources Policy, Elsevier, vol. 83(C).
    21. Beat Hintermann, 2014. "Pass-through of CO2 Emission Costs to Hourly Electricity Prices in Germany," CESifo Working Paper Series 4964, CESifo.
    22. Chai, Shanglei & Yang, Xiaoli & Zhang, Zhen & Abedin, Mohammad Zoynul & Lucey, Brian, 2022. "Regional imbalances of market efficiency in China’s pilot emission trading schemes (ETS): A multifractal perspective," Research in International Business and Finance, Elsevier, vol. 63(C).
    23. Rita Sousa & Luís Aguiar-Conraria & Maria Joana Soares, 2014. "Carbon Financial Markets: a time-frequency analysis of CO2 price drivers," NIPE Working Papers 03/2014, NIPE - Universidade do Minho.
    24. Adekoya, Oluwasegun B. & Oliyide, Johnson A. & Noman, Ambreen, 2021. "The volatility connectedness of the EU carbon market with commodity and financial markets in time- and frequency-domain: The role of the U.S. economic policy uncertainty," Resources Policy, Elsevier, vol. 74(C).
    25. Anna Creti & Marc Joëts, 2017. "Multiple bubbles in the European Union Emission Trading Scheme," Post-Print hal-01549809, HAL.
    26. Ming-Tao Chou & Cherie Lu, 2016. "Correlations and Volatility Spillovers between the Carbon Trading Price and Bunker Index for the Maritime Industry," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 93-101, November.
    27. Gavard, Claire & Kirat, Djamel, 2018. "Flexibility in the market for international carbon credits and price dynamics difference with European allowances," Energy Economics, Elsevier, vol. 76(C), pages 504-518.
    28. Han, Meng & Ding, Lili & Zhao, Xin & Kang, Wanglin, 2019. "Forecasting carbon prices in the Shenzhen market, China: The role of mixed-frequency factors," Energy, Elsevier, vol. 171(C), pages 69-76.
    29. 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.
    30. Koch, Nicolas & Grosjean, Godefroy & Fuss, Sabine & Edenhofer, Ottmar, 2016. "Politics matters: Regulatory events as catalysts for price formation under cap-and-trade," Journal of Environmental Economics and Management, Elsevier, vol. 78(C), pages 121-139.
    31. Wang, Xiong & Li, Jingyao & Ren, Xiaohang & Bu, Ruijun & Jawadi, Fredj, 2023. "Economic policy uncertainty and dynamic correlations in energy markets: Assessment and solutions," Energy Economics, Elsevier, vol. 117(C).
    32. Xu, Jia & Tan, Xiujie & He, Gang & Liu, Yu, 2019. "Disentangling the drivers of carbon prices in China's ETS pilots — An EEMD approach," Technological Forecasting and Social Change, Elsevier, vol. 139(C), pages 1-9.
    33. Xianzi Yang & Chen Zhang & Yu Yang & Yaqi Wu & Po Yun & Zulfiqar Ali Wagan, 2020. "China’s Carbon Pricing Based on Heterogeneous Tail Distribution," Sustainability, MDPI, vol. 12(7), pages 1-16, April.
    34. 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.
    35. Julien Chevallier, 2021. "Covid-19 Outbreak and CO2 Emissions: Macro-Financial Linkages," Working Papers 2021-004, Department of Research, Ipag Business School.
    36. Miguel A. Jaramillo-Morán & Daniel Fernández-Martínez & Agustín García-García & Diego Carmona-Fernández, 2021. "Improving Artificial Intelligence Forecasting Models Performance with Data Preprocessing: European Union Allowance Prices Case Study," Energies, MDPI, vol. 14(23), pages 1-23, November.
    37. Zhu, Bangzhu & Yuan, Lili & Ye, Shunxin, 2019. "Examining the multi-timescales of European carbon market with grey relational analysis and empirical mode decomposition," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 392-399.
    38. Petr Cermak & Jarmila Zimmermannova & Jan Lavrincik & Miroslav Pokorny & Jiri Martinu, 2015. "The Broker Simulation Model in the Emission Allowances Trading Area," International Journal of Energy Economics and Policy, Econjournals, vol. 5(1), pages 80-95.
    39. Dai, Xingyu & Xiao, Ling & Wang, Qunwei & Dhesi, Gurjeet, 2021. "Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS," Energy Policy, Elsevier, vol. 156(C).
    40. Beat Hintermann & Sonja Peterson & Wilfried Rickels, 2016. "Price and Market Behavior in Phase II of the EU ETS: A Review of the Literature," Review of Environmental Economics and Policy, Association of Environmental and Resource Economists, vol. 10(1), pages 108-128.
    41. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2015. "Is carbon emissions trading profitable?," Economic Modelling, Elsevier, vol. 47(C), pages 84-92.
    42. 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).
    43. Carratù, Maria & Chiarini, Bruno & Piselli, Paolo, 2020. "Effects of European emission unit allowance auctions on corporate profitability," Energy Policy, Elsevier, vol. 144(C).
    44. Fang Zhang & Zhengjun Zhang, 2020. "The tail dependence of the carbon markets: The implication of portfolio management," PLOS ONE, Public Library of Science, vol. 15(8), pages 1-17, August.
    45. Ayben Koy & G l Okay, 2020. "Are Carbon Leader Indexes Related with Carbon Prices under Different Regimes?," International Journal of Energy Economics and Policy, Econjournals, vol. 10(4), pages 115-121.
    46. Zhu, Bangzhu & Han, Dong & Chevallier, Julien & Wei, Yi-Ming, 2017. "Dynamic multiscale interactions between European carbon and electricity markets during 2005–2016," Energy Policy, Elsevier, vol. 107(C), pages 309-322.
    47. Joao Leitao & Joaquim Ferreira & Ernesto Santibanez‐Gonzalez, 2021. "Green bonds, sustainable development and environmental policy in the European Union carbon market," Business Strategy and the Environment, Wiley Blackwell, vol. 30(4), pages 2077-2090, May.
    48. Jorge Barrientos Marín & Mónica Toro Martínez, 2017. "Análisis de los fundamentales del precio de la energía eléctrica: evidencia empírica para Colombia," Revista de Economía del Caribe 17148, Universidad del Norte.
    49. Rita Sousa & Luís Francisco Aguiar-Conraria & Maria Joana Soares, 2014. "Carbon and Energy Prices: Surfing the Wavelets of California," NIPE Working Papers 19/2014, NIPE - Universidade do Minho.
    50. Jin, Jiayu & Han, Liyan & Wu, Lei & Zeng, Hongchao, 2020. "The hedging effect of green bonds on carbon market risk," International Review of Financial Analysis, Elsevier, vol. 71(C).
    51. Bangzhu Zhu & Ping Wang & Julien Chevallier & Yiming Wei, 2014. "Carbon price analysis using empirical mode decomposition," Working Papers 2014-156, Department of Research, Ipag Business School.
    52. M. Angeles Carnero & Jose Olmo & Lorenzo Pascual, 2018. "Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS," Energies, MDPI, vol. 11(11), pages 1-23, November.
    53. Hung Xuan Do & Rabindra Nepal & Son Duy Pham & Tooraj Jamasb, 2023. "Electricity Market Crisis in Europe and Cross Border Price Effects: A Quantile Return Connectedness Analysis," CAMA Working Papers 2023-46, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    54. Marina Friedrich & S'ebastien Fries & Michael Pahle & Ottmar Edenhofer, 2019. "Understanding the explosive trend in EU ETS prices -- fundamentals or speculation?," Papers 1906.10572, arXiv.org, revised Mar 2020.
    55. Alexander Zeitlberger & Alexander Brauneis, 2016. "Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(1), pages 149-176, March.
    56. Hammoudeh, Shawkat & Nguyen, Duc Khuong & Sousa, Ricardo M., 2014. "What explain the short-term dynamics of the prices of CO2 emissions?," Energy Economics, Elsevier, vol. 46(C), pages 122-135.
    57. Duan, Kun & Ren, Xiaohang & Shi, Yukun & Mishra, Tapas & Yan, Cheng, 2021. "The marginal impacts of energy prices on carbon price variations: Evidence from a quantile-on-quantile approach," Energy Economics, Elsevier, vol. 95(C).
    58. Wang, Xiong & Li, Jingyao & Ren, Xiaohang, 2022. "Asymmetric causality of economic policy uncertainty and oil volatility index on time-varying nexus of the clean energy, carbon and green bond," International Review of Financial Analysis, Elsevier, vol. 83(C).
    59. Marina Friedrich & Sébastien Fries & Michael Pahle & Ottmar Edenhofer, 2020. "Rules vs. Discretion in Cap-and-Trade Programs: Evidence from the EU Emission Trading System," CESifo Working Paper Series 8637, CESifo.
    60. Friedrich, Marina & Mauer, Eva-Maria & Pahle, Michael & Tietjen, Oliver, 2020. "From fundamentals to financial assets: the evolution of understanding price formation in the EU ETS," EconStor Preprints 225210, ZBW - Leibniz Information Centre for Economics.
    61. Chen, Weidong & Xiong, Shi & Chen, Quanyu, 2022. "Characterizing the dynamic evolutionary behavior of multivariate price movement fluctuation in the carbon-fuel energy markets system from complex network perspective," Energy, Elsevier, vol. 239(PA).
    62. Jarmila Zimmermannová, 2015. "Pilot Analysis of the Behaviour of Companies Within the 3rd Trading Period of the EU ETS in the Czech Republic," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 63(6), pages 2213-2220.
    63. Löschel, Andreas & Gallier, Carlo & Lutz, Benjamin & Brockmann, Karl Ludwig & Dieckhöner, Caroline, 2013. "KfW/ZEW CO2 Barometer 2013 – Carbon Edition. The EU Emissions Trading Scheme: Firm Behaviour During the Crisis," KfW/ZEW-CO2-Barometer, ZEW - Leibniz Centre for European Economic Research, number 109797.
    64. Huang, Yumeng & Dai, Xingyu & Wang, Qunwei & Zhou, Dequn, 2021. "A hybrid model for carbon price forecastingusing GARCH and long short-term memory network," Applied Energy, Elsevier, vol. 285(C).
    65. Ulrike Kornek & Jan Christoph Steckel & Kai Lessmann & Ottmar Edenhofer, 2017. "The climate rent curse: new challenges for burden sharing," International Environmental Agreements: Politics, Law and Economics, Springer, vol. 17(6), pages 855-882, December.
    66. Guo, Xiaozhu & Huang, Yisu & Liang, Chao & Umar, Muhammad, 2022. "Forecasting volatility of EUA futures: New evidence," Energy Economics, Elsevier, vol. 110(C).
    67. Yue Xu & Dayu Zhai, 2022. "Impact of Changes in Membership on Prices of a Unified Carbon Market: Case Study of the European Union Emissions Trading System," Sustainability, MDPI, vol. 14(21), pages 1-16, October.
    68. Duan, Kun & Ren, Xiaohang & Wen, Fenghua & Chen, Jinyu, 2023. "Evolution of the information transmission between Chinese and international oil markets: A quantile-based framework," Journal of Commodity Markets, Elsevier, vol. 29(C).
    69. Dirk Broeders & Marleen de Jonge & David Rijsbergen, 2024. "The European Carbon Bond Premium," Working Papers 798, DNB.
    70. Dan Nie & Yanbin Li & Xiyu Li, 2021. "Dynamic Spillovers and Asymmetric Spillover Effect between the Carbon Emission Trading Market, Fossil Energy Market, and New Energy Stock Market in China," Energies, MDPI, vol. 14(19), pages 1-22, October.
    71. Tan, Xueping & Sirichand, Kavita & Vivian, Andrew & Wang, Xinyu, 2022. "Forecasting European carbon returns using dimension reduction techniques: Commodity versus financial fundamentals," International Journal of Forecasting, Elsevier, vol. 38(3), pages 944-969.
    72. Tan, Xue-Ping & Wang, Xin-Yu, 2017. "Dependence changes between the carbon price and its fundamentals: A quantile regression approach," Applied Energy, Elsevier, vol. 190(C), pages 306-325.
    73. Rita Sousa & Luís Aguiar-Conraria, 2014. "Dynamics of CO2 price drivers," NIPE Working Papers 02/2014, NIPE - Universidade do Minho.
    74. 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.
    75. Sousa, Rita & Aguiar-Conraria, Luís & Soares, Maria Joana, 2014. "Carbon financial markets: A time–frequency analysis of CO2 prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 118-127.

  2. Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2010. "Modeling and explaining the dynamics of European Union allowance prices at high-frequency," ZEW Discussion Papers 10-038, ZEW - Leibniz Centre for European Economic Research.

    Cited by:

    1. 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.
    2. Thijs Benschopa & Brenda López Cabrera, 2014. "Volatility Modelling of CO2 Emission Allowance Spot Prices with Regime-Switching GARCH Models," SFB 649 Discussion Papers SFB649DP2014-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    3. Mengrui Zhu & Hua Xu & Xingyu Gao & Minggang Wang & André L. M. Vilela & Lixin Tian, 2022. "Identification of Breakpoints in Carbon Market Based on Probability Density Recurrence Network," Energies, MDPI, vol. 15(15), pages 1-18, July.
    4. Thijs Benschop & Brenda López Cabrera, 2017. "Realized volatility of CO2 futures," SFB 649 Discussion Papers SFB649DP2017-025, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    5. Iordanis Kalaitzoglou & Boulis Maher Ibrahim, 2010. "Does Order Flow in the European Carbon Allowances Market Reveal Information?," CFI Discussion Papers 1003, Centre for Finance and Investment, Heriot Watt University.
    6. Federico Galán-Valdivieso & Elena Villar-Rubio & María-Dolores Huete-Morales, 2018. "The erratic behaviour of the EU ETS on the path towards consolidation and price stability," International Environmental Agreements: Politics, Law and Economics, Springer, vol. 18(5), pages 689-706, October.
    7. Fang, Sheng & Lu, Xinsheng & Li, Jianfeng & Qu, Ling, 2018. "Multifractal detrended cross-correlation analysis of carbon emission allowance and stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 551-566.
    8. Petitjean, Mikael, 2015. "How integrated is the European carbon derivatives market?," LIDAM Reprints LFIN 2015004, Université catholique de Louvain, Louvain Finance (LFIN).
    9. Yoichi Otsubo & Bruce Mizrach, 2012. "The Market Microstructure of the European Climate Exchange," LSF Research Working Paper Series 12-7, Luxembourg School of Finance, University of Luxembourg.
    10. Hintermann, Beat & Peterson, Sonja & Rickels, Wilfried, 2014. "Price and market behavior in Phase II of the EU ETS," Kiel Working Papers 1962, Kiel Institute for the World Economy (IfW Kiel).
    11. Federica Cucchiella & Idiano D Adamo & Massimo Gastaldi, 2015. "Profitability Analysis for Biomethane: A Strategic Role in the Italian Transport Sector," International Journal of Energy Economics and Policy, Econjournals, vol. 5(2), pages 440-449.
    12. Xinyu Wu & Xuebao Yin & Xueting Mei, 2022. "Forecasting the Volatility of European Union Allowance Futures with Climate Policy Uncertainty Using the EGARCH-MIDAS Model," Sustainability, MDPI, vol. 14(7), pages 1-13, April.
    13. Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2009. "Options introduction and volatility in the EU ETS," EconomiX Working Papers 2009-33, University of Paris Nanterre, EconomiX.
    14. Xie, Qiwei & Hao, Jingjing & Li, Jingyu & Zheng, Xiaolong, 2022. "Carbon price prediction considering climate change: A text-based framework," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 382-401.
    15. Song, Yazhi & Liu, Tiansen & Liang, Dapeng & Li, Yin & Song, Xiaoqiu, 2019. "A Fuzzy Stochastic Model for Carbon Price Prediction Under the Effect of Demand-related Policy in China's Carbon Market," Ecological Economics, Elsevier, vol. 157(C), pages 253-265.
    16. 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.
    17. 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.
    18. Bai, Yiyi & Okullo, Samuel J., 2023. "Drivers and pass-through of the EU ETS price: Evidence from the power sector," Energy Economics, Elsevier, vol. 123(C).
    19. Lau, Chi Keung & Soliman, Alaa M. & Albasu, Joseph & Gozgor, Giray, 2023. "Dependence structures among geopolitical risks, energy prices, and carbon emissions prices," Resources Policy, Elsevier, vol. 83(C).
    20. Löschel, Andreas & Brockmann, Karl Ludwig & Heindl, Peter & Lutz, Benjamin & Schumacher, Jan, 2011. "KfW/ZEW CO2 Barometer 2011: Hoher Anpassungsbedarf im EU-Emissionshandel ab 2013 – deutliche Defizite bei der Vorbereitung in den Unternehmen," KfW/ZEW-CO2-Barometer, ZEW - Leibniz Centre for European Economic Research, number 109795.
    21. Frédéric Branger, Philippe Quirion, Julien Chevallier, 2017. "Carbon Leakage and Competitiveness of Cement and Steel Industries Under the EU ETS: Much Ado About Nothing," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    22. Palao, Fernando & Pardo, Ángel, 2014. "What makes carbon traders cluster their orders?," Energy Economics, Elsevier, vol. 43(C), pages 158-165.
    23. Aatola, Piia & Ollikka, Kimmo & Ollikainen, Markku, 2012. "Informational Efficiency of the EU ETS market – a study of price predictability and profitable trading," Working Papers 28, VATT Institute for Economic Research.
    24. Stefan Trück & Rafal Weron, 2015. "Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period," HSC Research Reports HSC/15/03, Hugo Steinhaus Center, Wroclaw University of Technology.
    25. Reboredo, Juan C. & Ugando, Mikel, 2015. "Downside risks in EU carbon and fossil fuel markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 111(C), pages 17-35.
    26. Gavard, Claire & Kirat, Djamel, 2018. "Flexibility in the market for international carbon credits and price dynamics difference with European allowances," Energy Economics, Elsevier, vol. 76(C), pages 504-518.
    27. Ajay K. Dhamija & Surendra S. Yadav & PK Jain, 2017. "Forecasting volatility of carbon under EU ETS: a multi-phase study," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 19(2), pages 299-335, April.
    28. Lyu, Chenyan & Jamasb, Tooraj & Spanholtz, Jan Peter Georg, 2021. "The Long Covid of Energy Markets and Prices," Working Papers 16-2021, Copenhagen Business School, Department of Economics, revised 02 Nov 2021.
    29. Koch, Nicolas & Grosjean, Godefroy & Fuss, Sabine & Edenhofer, Ottmar, 2016. "Politics matters: Regulatory events as catalysts for price formation under cap-and-trade," Journal of Environmental Economics and Management, Elsevier, vol. 78(C), pages 121-139.
    30. Wang, Xiong & Li, Jingyao & Ren, Xiaohang & Bu, Ruijun & Jawadi, Fredj, 2023. "Economic policy uncertainty and dynamic correlations in energy markets: Assessment and solutions," Energy Economics, Elsevier, vol. 117(C).
    31. 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.
    32. Luis A. Gil-Alana & Fernando Perez de Gracia & Rangan Gupta, 2015. "Modeling Persistence of Carbon Emission Allowance Prices," Working Papers 201515, University of Pretoria, Department of Economics.
    33. Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar, 2013. "Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals," ZEW Discussion Papers 13-001, ZEW - Leibniz Centre for European Economic Research.
    34. Lei, Heng & Xue, Minggao & Liu, Huiling, 2022. "Probability distribution forecasting of carbon allowance prices: A hybrid model considering multiple influencing factors," Energy Economics, Elsevier, vol. 113(C).
    35. Ibikunle, Gbenga & Gregoriou, Andros & Hoepner, Andreas G.F. & Rhodes, Mark, 2016. "Liquidity and market efficiency in the world's largest carbon market," The British Accounting Review, Elsevier, vol. 48(4), pages 431-447.
    36. Miguel A. Jaramillo-Morán & Daniel Fernández-Martínez & Agustín García-García & Diego Carmona-Fernández, 2021. "Improving Artificial Intelligence Forecasting Models Performance with Data Preprocessing: European Union Allowance Prices Case Study," Energies, MDPI, vol. 14(23), pages 1-23, November.
    37. Zhu, Bangzhu & Yuan, Lili & Ye, Shunxin, 2019. "Examining the multi-timescales of European carbon market with grey relational analysis and empirical mode decomposition," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 392-399.
    38. Petr Cermak & Jarmila Zimmermannova & Jan Lavrincik & Miroslav Pokorny & Jiri Martinu, 2015. "The Broker Simulation Model in the Emission Allowances Trading Area," International Journal of Energy Economics and Policy, Econjournals, vol. 5(1), pages 80-95.
    39. Chang, Kai & Chen, Rongda & Chevallier, Julien, 2018. "Market fragmentation, liquidity measures and improvement perspectives from China's emissions trading scheme pilots," Energy Economics, Elsevier, vol. 75(C), pages 249-260.
    40. Vellachami, Sanggetha & Hasanov, Akram Shavkatovich & Brooks, Robert, 2023. "Risk transmission from the energy markets to the carbon market: Evidence from the recursive window approach," International Review of Financial Analysis, Elsevier, vol. 89(C).
    41. Aatola, Piia, 2013. "Putting a Price on Carbon – Econometric Essays on the European Union Emissions Trading Scheme and its Impacts," Research Reports P62, VATT Institute for Economic Research.
    42. Marc Gronwald & Janina Ketterer, 2012. "What Moves the European Carbon Market? - Insights from Conditional Jump Models," CESifo Working Paper Series 3795, CESifo.
    43. Rickels, Wilfried & Görlich, Dennis & Oberst, Gerrit & Peterson, Sonja, 2012. "Carbon price dynamics: Evidence from Phase II of the European Emission Trading Scheme," Kiel Working Papers 1804, Kiel Institute for the World Economy (IfW Kiel).
    44. 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).
    45. Vlad-Cosmin Bulai & Alexandra Horobet & Oana Cristina Popovici & Lucian Belascu & Sofia Adriana Dumitrescu, 2021. "A VaR-Based Methodology for Assessing Carbon Price Risk across European Union Economic Sectors," Energies, MDPI, vol. 14(24), pages 1-21, December.
    46. Yan, Kai & Zhang, Wei & Shen, Dehua, 2020. "Stylized facts of the carbon emission market in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 555(C).
    47. Yinpeng Liu & Xiangyun Gao & Jianfeng Guo, 2018. "Network Features of the EU Carbon Trade System: An Evolutionary Perspective," Energies, MDPI, vol. 11(6), pages 1-16, June.
    48. Morten Ørregaard Nielsen & Antoine L. Noël, 2020. "To infinity and beyond: Efficient computation of ARCH(1) models," CREATES Research Papers 2020-13, Department of Economics and Business Economics, Aarhus University.
    49. 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.
    50. Shaolong Zeng & Qinyi Fu & Danni Yang & Yihua Tian & Yang Yu, 2023. "The Influencing Factors of the Carbon Trading Price: A Case of China against a “Double Carbon” Background," Sustainability, MDPI, vol. 15(3), pages 1-24, January.
    51. Tzouvanas, Panagiotis & Kizys, Renatas & Chatziantoniou, Ioannis & Sagitova, Roza, 2020. "Environmental and financial performance in the European manufacturing sector: An analysis of extreme tail dependency," The British Accounting Review, Elsevier, vol. 52(6).
    52. Cao, Guangxi & Xu, Wei, 2016. "Multifractal features of EUA and CER futures markets by using multifractal detrended fluctuation analysis based on empirical model decomposition," Chaos, Solitons & Fractals, Elsevier, vol. 83(C), pages 212-222.
    53. Rittler, Daniel, 2009. "Price Discovery, Causality and Volatility Spillovers in European Union Allowances Phase II: A High Frequency Analysis," Working Papers 0492, University of Heidelberg, Department of Economics.
    54. Stefan Trück & Wolfgang Härdle & Rafal Weron, 2012. "The relationship between spot and futures CO2 emission allowance prices in the EU-ETS," HSC Research Reports HSC/12/02, Hugo Steinhaus Center, Wroclaw University of Technology.
    55. Jin, Jiayu & Han, Liyan & Wu, Lei & Zeng, Hongchao, 2020. "The hedging effect of green bonds on carbon market risk," International Review of Financial Analysis, Elsevier, vol. 71(C).
    56. Bangzhu Zhu & Ping Wang & Julien Chevallier & Yiming Wei, 2014. "Carbon price analysis using empirical mode decomposition," Working Papers 2014-156, Department of Research, Ipag Business School.
    57. Eunyoung Kim & Youngcheul Ahn & Doojin Ryu, 2014. "Application of the Carbon Emission Pricing Model in the Korean Market," Energy & Environment, , vol. 25(1), pages 63-78, February.
    58. Wen, Xiaoqian & Bouri, Elie & Roubaud, David, 2017. "Can energy commodity futures add to the value of carbon assets?," Economic Modelling, Elsevier, vol. 62(C), pages 194-206.
    59. Ying Fan & Yin-Peng Liu & Jian-Feng Guo, 2016. "How to explain carbon price using market micro-behaviour?," Applied Economics, Taylor & Francis Journals, vol. 48(51), pages 4992-5007, November.
    60. Pettersson, Fredrik & Söderholm, Patrik & Lundmark, Robert, 2012. "Fuel switching and climate and energy policies in the European power generation sector: A generalized Leontief model," Energy Economics, Elsevier, vol. 34(4), pages 1064-1073.
    61. 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.
    62. Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
    63. Yves Rannou, 2017. "Liquidity, information, strategic trading in an electronic order book: New insights from the European carbon markets," Post-Print hal-01650533, HAL.
    64. Bildirici, Melike & Ersin, Özgür, 2012. "Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models," MPRA Paper 40330, University Library of Munich, Germany, revised May 2012.
    65. Bredin, Don & Hyde, Stuart & Muckley, Cal, 2014. "A microstructure analysis of the carbon finance market," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 222-234.
    66. Alexander Zeitlberger & Alexander Brauneis, 2016. "Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(1), pages 149-176, March.
    67. Dorota Ciesielska-Maciągowska & Dawid Klimczak & Małgorzata Skrzek-Lubasińska, 2021. "Central and Eastern European CO 2 Market—Challenges of Emissions Trading for Energy Companies," Energies, MDPI, vol. 14(4), pages 1-14, February.
    68. Xu Gong & Mengjie Li & Keqin Guan & Chuanwang Sun, 2023. "Climate change attention and carbon futures return prediction," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1261-1288, September.
    69. Hyeonho Kim & Yujin Kim & Yongho Ko & Seungwoo Han, 2022. "Performance Comparison of Predictive Methodologies for Carbon Emission Credit Price in the Korea Emission Trading System," Sustainability, MDPI, vol. 14(13), pages 1-20, July.
    70. Friedrich, Marina & Mauer, Eva-Maria & Pahle, Michael & Tietjen, Oliver, 2020. "From fundamentals to financial assets: the evolution of understanding price formation in the EU ETS," EconStor Preprints 225210, ZBW - Leibniz Information Centre for Economics.
    71. Chevallier, Julien, 2011. "A model of carbon price interactions with macroeconomic and energy dynamics," Energy Economics, Elsevier, vol. 33(6), pages 1295-1312.
    72. Reboredo, Juan C., 2013. "Modeling EU allowances and oil market interdependence. Implications for portfolio management," Energy Economics, Elsevier, vol. 36(C), pages 471-480.
    73. Jarmila Zimmermannová, 2015. "Pilot Analysis of the Behaviour of Companies Within the 3rd Trading Period of the EU ETS in the Czech Republic," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 63(6), pages 2213-2220.
    74. Rotfuß, Waldemar, 2010. "Preise für Europäische CO2-Zertifikate und die Realwirtschaft," ZEW Wachstums- und Konjunkturanalysen, ZEW - Leibniz Centre for European Economic Research, vol. 13(4), pages 8-9.
    75. Zhang, Yue-Jun & Peng, Yu-Lu & Ma, Chao-Qun & Shen, Bo, 2017. "Can environmental innovation facilitate carbon emissions reduction? Evidence from China," Energy Policy, Elsevier, vol. 100(C), pages 18-28.
    76. 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.
    77. Morten Ørregaard Nielsen & Antoine L. Noël, 2021. "To infinity and beyond: Efficient computation of ARCH(∞) models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(3), pages 338-354, May.
    78. Yue Xu & Dayu Zhai, 2022. "Impact of Changes in Membership on Prices of a Unified Carbon Market: Case Study of the European Union Emissions Trading System," Sustainability, MDPI, vol. 14(21), pages 1-16, October.
    79. Peter S. Schmidt & Therese Werner, 2012. "Channeling the final Say in Politics," CER-ETH Economics working paper series 12/165, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
    80. Chan, Ying Tung & Zhao, Hong, 2019. "How do credit market frictions affect carbon cycles? an estimated DSGE model approach," MPRA Paper 106987, University Library of Munich, Germany, revised 05 Dec 2020.
    81. Zhu, Bangzhu & Han, Dong & Wang, Ping & Wu, Zhanchi & Zhang, Tao & Wei, Yi-Ming, 2017. "Forecasting carbon price using empirical mode decomposition and evolutionary least squares support vector regression," Applied Energy, Elsevier, vol. 191(C), pages 521-530.
    82. Jianguo Zhou & Xuejing Huo & Xiaolei Xu & Yushuo Li, 2019. "Forecasting the Carbon Price Using Extreme-Point Symmetric Mode Decomposition and Extreme Learning Machine Optimized by the Grey Wolf Optimizer Algorithm," Energies, MDPI, vol. 12(5), pages 1-22, March.
    83. Tan, Xue-Ping & Wang, Xin-Yu, 2017. "Dependence changes between the carbon price and its fundamentals: A quantile regression approach," Applied Energy, Elsevier, vol. 190(C), pages 306-325.
    84. Kalaitzoglou, Iordanis & Ibrahim, Boulis M., 2013. "Does order flow in the European Carbon Futures Market reveal information?," Journal of Financial Markets, Elsevier, vol. 16(3), pages 604-635.

  3. Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2010. "Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency," Working Papers 0497, University of Heidelberg, Department of Economics.

    Cited by:

    1. 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.
    2. Thijs Benschopa & Brenda López Cabrera, 2014. "Volatility Modelling of CO2 Emission Allowance Spot Prices with Regime-Switching GARCH Models," SFB 649 Discussion Papers SFB649DP2014-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    3. Mengrui Zhu & Hua Xu & Xingyu Gao & Minggang Wang & André L. M. Vilela & Lixin Tian, 2022. "Identification of Breakpoints in Carbon Market Based on Probability Density Recurrence Network," Energies, MDPI, vol. 15(15), pages 1-18, July.
    4. Thijs Benschop & Brenda López Cabrera, 2017. "Realized volatility of CO2 futures," SFB 649 Discussion Papers SFB649DP2017-025, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    5. Iordanis Kalaitzoglou & Boulis Maher Ibrahim, 2010. "Does Order Flow in the European Carbon Allowances Market Reveal Information?," CFI Discussion Papers 1003, Centre for Finance and Investment, Heriot Watt University.
    6. Federico Galán-Valdivieso & Elena Villar-Rubio & María-Dolores Huete-Morales, 2018. "The erratic behaviour of the EU ETS on the path towards consolidation and price stability," International Environmental Agreements: Politics, Law and Economics, Springer, vol. 18(5), pages 689-706, October.
    7. Fang, Sheng & Lu, Xinsheng & Li, Jianfeng & Qu, Ling, 2018. "Multifractal detrended cross-correlation analysis of carbon emission allowance and stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 551-566.
    8. Petitjean, Mikael, 2015. "How integrated is the European carbon derivatives market?," LIDAM Reprints LFIN 2015004, Université catholique de Louvain, Louvain Finance (LFIN).
    9. Yoichi Otsubo & Bruce Mizrach, 2012. "The Market Microstructure of the European Climate Exchange," LSF Research Working Paper Series 12-7, Luxembourg School of Finance, University of Luxembourg.
    10. Hintermann, Beat & Peterson, Sonja & Rickels, Wilfried, 2014. "Price and market behavior in Phase II of the EU ETS," Kiel Working Papers 1962, Kiel Institute for the World Economy (IfW Kiel).
    11. Federica Cucchiella & Idiano D Adamo & Massimo Gastaldi, 2015. "Profitability Analysis for Biomethane: A Strategic Role in the Italian Transport Sector," International Journal of Energy Economics and Policy, Econjournals, vol. 5(2), pages 440-449.
    12. Xinyu Wu & Xuebao Yin & Xueting Mei, 2022. "Forecasting the Volatility of European Union Allowance Futures with Climate Policy Uncertainty Using the EGARCH-MIDAS Model," Sustainability, MDPI, vol. 14(7), pages 1-13, April.
    13. Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2009. "Options introduction and volatility in the EU ETS," EconomiX Working Papers 2009-33, University of Paris Nanterre, EconomiX.
    14. Xie, Qiwei & Hao, Jingjing & Li, Jingyu & Zheng, Xiaolong, 2022. "Carbon price prediction considering climate change: A text-based framework," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 382-401.
    15. Song, Yazhi & Liu, Tiansen & Liang, Dapeng & Li, Yin & Song, Xiaoqiu, 2019. "A Fuzzy Stochastic Model for Carbon Price Prediction Under the Effect of Demand-related Policy in China's Carbon Market," Ecological Economics, Elsevier, vol. 157(C), pages 253-265.
    16. 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.
    17. 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.
    18. Bai, Yiyi & Okullo, Samuel J., 2023. "Drivers and pass-through of the EU ETS price: Evidence from the power sector," Energy Economics, Elsevier, vol. 123(C).
    19. Lau, Chi Keung & Soliman, Alaa M. & Albasu, Joseph & Gozgor, Giray, 2023. "Dependence structures among geopolitical risks, energy prices, and carbon emissions prices," Resources Policy, Elsevier, vol. 83(C).
    20. Löschel, Andreas & Brockmann, Karl Ludwig & Heindl, Peter & Lutz, Benjamin & Schumacher, Jan, 2011. "KfW/ZEW CO2 Barometer 2011: Hoher Anpassungsbedarf im EU-Emissionshandel ab 2013 – deutliche Defizite bei der Vorbereitung in den Unternehmen," KfW/ZEW-CO2-Barometer, ZEW - Leibniz Centre for European Economic Research, number 109795.
    21. Frédéric Branger, Philippe Quirion, Julien Chevallier, 2017. "Carbon Leakage and Competitiveness of Cement and Steel Industries Under the EU ETS: Much Ado About Nothing," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    22. Palao, Fernando & Pardo, Ángel, 2014. "What makes carbon traders cluster their orders?," Energy Economics, Elsevier, vol. 43(C), pages 158-165.
    23. Aatola, Piia & Ollikka, Kimmo & Ollikainen, Markku, 2012. "Informational Efficiency of the EU ETS market – a study of price predictability and profitable trading," Working Papers 28, VATT Institute for Economic Research.
    24. Stefan Trück & Rafal Weron, 2015. "Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period," HSC Research Reports HSC/15/03, Hugo Steinhaus Center, Wroclaw University of Technology.
    25. Reboredo, Juan C. & Ugando, Mikel, 2015. "Downside risks in EU carbon and fossil fuel markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 111(C), pages 17-35.
    26. Gavard, Claire & Kirat, Djamel, 2018. "Flexibility in the market for international carbon credits and price dynamics difference with European allowances," Energy Economics, Elsevier, vol. 76(C), pages 504-518.
    27. Ajay K. Dhamija & Surendra S. Yadav & PK Jain, 2017. "Forecasting volatility of carbon under EU ETS: a multi-phase study," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 19(2), pages 299-335, April.
    28. Lyu, Chenyan & Jamasb, Tooraj & Spanholtz, Jan Peter Georg, 2021. "The Long Covid of Energy Markets and Prices," Working Papers 16-2021, Copenhagen Business School, Department of Economics, revised 02 Nov 2021.
    29. Koch, Nicolas & Grosjean, Godefroy & Fuss, Sabine & Edenhofer, Ottmar, 2016. "Politics matters: Regulatory events as catalysts for price formation under cap-and-trade," Journal of Environmental Economics and Management, Elsevier, vol. 78(C), pages 121-139.
    30. Wang, Xiong & Li, Jingyao & Ren, Xiaohang & Bu, Ruijun & Jawadi, Fredj, 2023. "Economic policy uncertainty and dynamic correlations in energy markets: Assessment and solutions," Energy Economics, Elsevier, vol. 117(C).
    31. 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.
    32. Luis A. Gil-Alana & Fernando Perez de Gracia & Rangan Gupta, 2015. "Modeling Persistence of Carbon Emission Allowance Prices," Working Papers 201515, University of Pretoria, Department of Economics.
    33. Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar, 2013. "Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals," ZEW Discussion Papers 13-001, ZEW - Leibniz Centre for European Economic Research.
    34. Lei, Heng & Xue, Minggao & Liu, Huiling, 2022. "Probability distribution forecasting of carbon allowance prices: A hybrid model considering multiple influencing factors," Energy Economics, Elsevier, vol. 113(C).
    35. Ibikunle, Gbenga & Gregoriou, Andros & Hoepner, Andreas G.F. & Rhodes, Mark, 2016. "Liquidity and market efficiency in the world's largest carbon market," The British Accounting Review, Elsevier, vol. 48(4), pages 431-447.
    36. Miguel A. Jaramillo-Morán & Daniel Fernández-Martínez & Agustín García-García & Diego Carmona-Fernández, 2021. "Improving Artificial Intelligence Forecasting Models Performance with Data Preprocessing: European Union Allowance Prices Case Study," Energies, MDPI, vol. 14(23), pages 1-23, November.
    37. Zhu, Bangzhu & Yuan, Lili & Ye, Shunxin, 2019. "Examining the multi-timescales of European carbon market with grey relational analysis and empirical mode decomposition," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 392-399.
    38. Petr Cermak & Jarmila Zimmermannova & Jan Lavrincik & Miroslav Pokorny & Jiri Martinu, 2015. "The Broker Simulation Model in the Emission Allowances Trading Area," International Journal of Energy Economics and Policy, Econjournals, vol. 5(1), pages 80-95.
    39. Chang, Kai & Chen, Rongda & Chevallier, Julien, 2018. "Market fragmentation, liquidity measures and improvement perspectives from China's emissions trading scheme pilots," Energy Economics, Elsevier, vol. 75(C), pages 249-260.
    40. Vellachami, Sanggetha & Hasanov, Akram Shavkatovich & Brooks, Robert, 2023. "Risk transmission from the energy markets to the carbon market: Evidence from the recursive window approach," International Review of Financial Analysis, Elsevier, vol. 89(C).
    41. Aatola, Piia, 2013. "Putting a Price on Carbon – Econometric Essays on the European Union Emissions Trading Scheme and its Impacts," Research Reports P62, VATT Institute for Economic Research.
    42. Marc Gronwald & Janina Ketterer, 2012. "What Moves the European Carbon Market? - Insights from Conditional Jump Models," CESifo Working Paper Series 3795, CESifo.
    43. Rickels, Wilfried & Görlich, Dennis & Oberst, Gerrit & Peterson, Sonja, 2012. "Carbon price dynamics: Evidence from Phase II of the European Emission Trading Scheme," Kiel Working Papers 1804, Kiel Institute for the World Economy (IfW Kiel).
    44. 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).
    45. Vlad-Cosmin Bulai & Alexandra Horobet & Oana Cristina Popovici & Lucian Belascu & Sofia Adriana Dumitrescu, 2021. "A VaR-Based Methodology for Assessing Carbon Price Risk across European Union Economic Sectors," Energies, MDPI, vol. 14(24), pages 1-21, December.
    46. Yan, Kai & Zhang, Wei & Shen, Dehua, 2020. "Stylized facts of the carbon emission market in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 555(C).
    47. Yinpeng Liu & Xiangyun Gao & Jianfeng Guo, 2018. "Network Features of the EU Carbon Trade System: An Evolutionary Perspective," Energies, MDPI, vol. 11(6), pages 1-16, June.
    48. Morten Ørregaard Nielsen & Antoine L. Noël, 2020. "To infinity and beyond: Efficient computation of ARCH(1) models," CREATES Research Papers 2020-13, Department of Economics and Business Economics, Aarhus University.
    49. 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.
    50. Shaolong Zeng & Qinyi Fu & Danni Yang & Yihua Tian & Yang Yu, 2023. "The Influencing Factors of the Carbon Trading Price: A Case of China against a “Double Carbon” Background," Sustainability, MDPI, vol. 15(3), pages 1-24, January.
    51. Tzouvanas, Panagiotis & Kizys, Renatas & Chatziantoniou, Ioannis & Sagitova, Roza, 2020. "Environmental and financial performance in the European manufacturing sector: An analysis of extreme tail dependency," The British Accounting Review, Elsevier, vol. 52(6).
    52. Cao, Guangxi & Xu, Wei, 2016. "Multifractal features of EUA and CER futures markets by using multifractal detrended fluctuation analysis based on empirical model decomposition," Chaos, Solitons & Fractals, Elsevier, vol. 83(C), pages 212-222.
    53. Rittler, Daniel, 2009. "Price Discovery, Causality and Volatility Spillovers in European Union Allowances Phase II: A High Frequency Analysis," Working Papers 0492, University of Heidelberg, Department of Economics.
    54. Stefan Trück & Wolfgang Härdle & Rafal Weron, 2012. "The relationship between spot and futures CO2 emission allowance prices in the EU-ETS," HSC Research Reports HSC/12/02, Hugo Steinhaus Center, Wroclaw University of Technology.
    55. Jin, Jiayu & Han, Liyan & Wu, Lei & Zeng, Hongchao, 2020. "The hedging effect of green bonds on carbon market risk," International Review of Financial Analysis, Elsevier, vol. 71(C).
    56. Bangzhu Zhu & Ping Wang & Julien Chevallier & Yiming Wei, 2014. "Carbon price analysis using empirical mode decomposition," Working Papers 2014-156, Department of Research, Ipag Business School.
    57. Eunyoung Kim & Youngcheul Ahn & Doojin Ryu, 2014. "Application of the Carbon Emission Pricing Model in the Korean Market," Energy & Environment, , vol. 25(1), pages 63-78, February.
    58. Wen, Xiaoqian & Bouri, Elie & Roubaud, David, 2017. "Can energy commodity futures add to the value of carbon assets?," Economic Modelling, Elsevier, vol. 62(C), pages 194-206.
    59. Ying Fan & Yin-Peng Liu & Jian-Feng Guo, 2016. "How to explain carbon price using market micro-behaviour?," Applied Economics, Taylor & Francis Journals, vol. 48(51), pages 4992-5007, November.
    60. Pettersson, Fredrik & Söderholm, Patrik & Lundmark, Robert, 2012. "Fuel switching and climate and energy policies in the European power generation sector: A generalized Leontief model," Energy Economics, Elsevier, vol. 34(4), pages 1064-1073.
    61. 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.
    62. Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
    63. Yves Rannou, 2017. "Liquidity, information, strategic trading in an electronic order book: New insights from the European carbon markets," Post-Print hal-01650533, HAL.
    64. Bildirici, Melike & Ersin, Özgür, 2012. "Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models," MPRA Paper 40330, University Library of Munich, Germany, revised May 2012.
    65. Bredin, Don & Hyde, Stuart & Muckley, Cal, 2014. "A microstructure analysis of the carbon finance market," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 222-234.
    66. Alexander Zeitlberger & Alexander Brauneis, 2016. "Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(1), pages 149-176, March.
    67. Dorota Ciesielska-Maciągowska & Dawid Klimczak & Małgorzata Skrzek-Lubasińska, 2021. "Central and Eastern European CO 2 Market—Challenges of Emissions Trading for Energy Companies," Energies, MDPI, vol. 14(4), pages 1-14, February.
    68. Xu Gong & Mengjie Li & Keqin Guan & Chuanwang Sun, 2023. "Climate change attention and carbon futures return prediction," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1261-1288, September.
    69. Hyeonho Kim & Yujin Kim & Yongho Ko & Seungwoo Han, 2022. "Performance Comparison of Predictive Methodologies for Carbon Emission Credit Price in the Korea Emission Trading System," Sustainability, MDPI, vol. 14(13), pages 1-20, July.
    70. Friedrich, Marina & Mauer, Eva-Maria & Pahle, Michael & Tietjen, Oliver, 2020. "From fundamentals to financial assets: the evolution of understanding price formation in the EU ETS," EconStor Preprints 225210, ZBW - Leibniz Information Centre for Economics.
    71. Chevallier, Julien, 2011. "A model of carbon price interactions with macroeconomic and energy dynamics," Energy Economics, Elsevier, vol. 33(6), pages 1295-1312.
    72. Reboredo, Juan C., 2013. "Modeling EU allowances and oil market interdependence. Implications for portfolio management," Energy Economics, Elsevier, vol. 36(C), pages 471-480.
    73. Jarmila Zimmermannová, 2015. "Pilot Analysis of the Behaviour of Companies Within the 3rd Trading Period of the EU ETS in the Czech Republic," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 63(6), pages 2213-2220.
    74. Rotfuß, Waldemar, 2010. "Preise für Europäische CO2-Zertifikate und die Realwirtschaft," ZEW Wachstums- und Konjunkturanalysen, ZEW - Leibniz Centre for European Economic Research, vol. 13(4), pages 8-9.
    75. Zhang, Yue-Jun & Peng, Yu-Lu & Ma, Chao-Qun & Shen, Bo, 2017. "Can environmental innovation facilitate carbon emissions reduction? Evidence from China," Energy Policy, Elsevier, vol. 100(C), pages 18-28.
    76. 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.
    77. Morten Ørregaard Nielsen & Antoine L. Noël, 2021. "To infinity and beyond: Efficient computation of ARCH(∞) models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(3), pages 338-354, May.
    78. Yue Xu & Dayu Zhai, 2022. "Impact of Changes in Membership on Prices of a Unified Carbon Market: Case Study of the European Union Emissions Trading System," Sustainability, MDPI, vol. 14(21), pages 1-16, October.
    79. Peter S. Schmidt & Therese Werner, 2012. "Channeling the final Say in Politics," CER-ETH Economics working paper series 12/165, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
    80. Chan, Ying Tung & Zhao, Hong, 2019. "How do credit market frictions affect carbon cycles? an estimated DSGE model approach," MPRA Paper 106987, University Library of Munich, Germany, revised 05 Dec 2020.
    81. Zhu, Bangzhu & Han, Dong & Wang, Ping & Wu, Zhanchi & Zhang, Tao & Wei, Yi-Ming, 2017. "Forecasting carbon price using empirical mode decomposition and evolutionary least squares support vector regression," Applied Energy, Elsevier, vol. 191(C), pages 521-530.
    82. Jianguo Zhou & Xuejing Huo & Xiaolei Xu & Yushuo Li, 2019. "Forecasting the Carbon Price Using Extreme-Point Symmetric Mode Decomposition and Extreme Learning Machine Optimized by the Grey Wolf Optimizer Algorithm," Energies, MDPI, vol. 12(5), pages 1-22, March.
    83. Tan, Xue-Ping & Wang, Xin-Yu, 2017. "Dependence changes between the carbon price and its fundamentals: A quantile regression approach," Applied Energy, Elsevier, vol. 190(C), pages 306-325.
    84. Kalaitzoglou, Iordanis & Ibrahim, Boulis M., 2013. "Does order flow in the European Carbon Futures Market reveal information?," Journal of Financial Markets, Elsevier, vol. 16(3), pages 604-635.

  4. Rotfuß, Waldemar & Conrad, Christian & Rittler, Daniel, 2009. "The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs," ZEW Discussion Papers 09-045, ZEW - Leibniz Centre for European Economic Research.

    Cited by:

    1. Chawla, M. & Pollitt, M.G., 2012. "Energy-efficiency and environmental policies & income supplements in the UK: Their evolution and distributional impact in relation to domestic energy bills," Cambridge Working Papers in Economics 1256, Faculty of Economics, University of Cambridge.
    2. Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2012. "Modeling and explaining the dynamics of European Union Allowance prices at high-frequency," Energy Economics, Elsevier, vol. 34(1), pages 316-326.
    3. 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.
    4. Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2010. "Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency," Working Papers 0497, University of Heidelberg, Department of Economics.
    5. Mallika Chawla & Michael G. Pollitt, 2013. "Energy-efficiency and Environmental Policies & Income Supplements in the UK: Evolution and Distributional Impacts on Domestic Energy Bills," Economics of Energy & Environmental Policy, International Association for Energy Economics, vol. 0(Number 1).

  5. Rotfuß, Waldemar, 2009. "Intraday price formation and volatility in the European Union emissions trading scheme: an introductory analysis," ZEW Discussion Papers 09-018, ZEW - Leibniz Centre for European Economic Research.

    Cited by:

    1. Thijs Benschop & Brenda López Cabrera, 2017. "Realized volatility of CO2 futures," SFB 649 Discussion Papers SFB649DP2017-025, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    2. Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2012. "Modeling and explaining the dynamics of European Union Allowance prices at high-frequency," Energy Economics, Elsevier, vol. 34(1), pages 316-326.
    3. Petitjean, Mikael, 2015. "How integrated is the European carbon derivatives market?," LIDAM Reprints LFIN 2015004, Université catholique de Louvain, Louvain Finance (LFIN).
    4. Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2009. "Options introduction and volatility in the EU ETS," EconomiX Working Papers 2009-33, University of Paris Nanterre, EconomiX.
    5. 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.
    6. 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.
    7. 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.
    8. Ibikunle, Gbenga & Gregoriou, Andros & Hoepner, Andreas G.F. & Rhodes, Mark, 2016. "Liquidity and market efficiency in the world's largest carbon market," The British Accounting Review, Elsevier, vol. 48(4), pages 431-447.
    9. Vicente Medina Martínez & Ángel Pardo Tornero, 2012. "Stylized facts of CO2 returns," Working Papers. Serie AD 2012-14, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    10. Rotfuß, Waldemar & Conrad, Christian & Rittler, Daniel, 2009. "The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs," ZEW Discussion Papers 09-045, ZEW - Leibniz Centre for European Economic Research.
    11. Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2010. "Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency," Working Papers 0497, University of Heidelberg, Department of Economics.
    12. Ibrahim, Boulis Maher & Kalaitzoglou, Iordanis Angelos, 2016. "Why do carbon prices and price volatility change?," Journal of Banking & Finance, Elsevier, vol. 63(C), pages 76-94.
    13. Bredin, Don & Hyde, Stuart & Muckley, Cal, 2014. "A microstructure analysis of the carbon finance market," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 222-234.
    14. Vicente Medina & Angel Pardo, 2013. "Is the EUA a new asset class?," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 637-653, March.

Articles

  1. Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar, 2013. "Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals," Energy Economics, Elsevier, vol. 40(C), pages 222-232.
    See citations under working paper version above.
  2. Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2012. "Modeling and explaining the dynamics of European Union Allowance prices at high-frequency," Energy Economics, Elsevier, vol. 34(1), pages 316-326.
    See citations under working paper version above.
  3. Rotfuß, Waldemar, 2009. "Wirtschaftliche und gesellschaftliche Bedeutung von Familienunternehmen," ZEW Wachstums- und Konjunkturanalysen, ZEW - Leibniz Centre for European Economic Research, vol. 12(1), pages 6-7.

    Cited by:

    1. Niefert, Michaela & Hauer, Annegret & Heger, Diana & Keese, Detlef & Licht, Georg & Schramm, Tobias, 2009. "Die volkswirtschaftliche Bedeutung der Familienunternehmen," ZEW Expertises, ZEW - Leibniz Centre for European Economic Research, number 110511.
    2. Gottschalk, Sandra & Lubczyk, Moritz & Hauer, Annegret & Keese, Detlef, 2019. "Die volkswirtschaftliche Bedeutung der Familienunternehmen," ZEW Expertises, ZEW - Leibniz Centre for European Economic Research, number 222379.
    3. Gottschalk, Sandra & Egeln, Jürgen & Kinne, Jan & Hauer, Annegret & Keese, Detlef & Oehme, Marie, 2017. "Die volkswirtschaftliche Bedeutung der Familienunternehmen (4. Auflage)," ZEW Expertises, ZEW - Leibniz Centre for European Economic Research, number 162724.
    4. Gottschalk, Sandra & Lubczyk, Moritz, 2019. "Die Entwicklung der Familienunternehmen in den neuen Bundesländern," Studien, Stiftung Familienunternehmen / Foundation for Family Businesses, number 250006.
    5. Schlömer-Laufen, Nadine & Kay, Rosemarie & Holz, Michael, 2014. "Works councils in family businesses in Germany: Why are there so few?," Working Papers 03/14, Institut für Mittelstandsforschung (IfM) Bonn.

Books

  1. Broer, Eva & Ernst, Christof & Peters, Bettina & Rotfuß, Waldemar & Schmidt, Sandra & Schröder, Michael & Westerheide, Peter & Kirchdörfer, Rainer & Huber, Steffen, 2008. "Wirtschaftliche und gesellschaftliche Bedeutung von Familienunternehmen: Abschlussbericht an das Bundesministerium für Wirtschaft und Technologie (BMWi)," ZEW Expertises, ZEW - Leibniz Centre for European Economic Research, number 110506.

    Cited by:

    1. Catherine Perron, 2011. "Mecklenburg-Vorpommern: a regional profile," Working Papers hal-01064470, HAL.
    2. Sven Wolff & Christina Guenther & Petra Moog & David B. Audretsch, 2023. "The geography of the continuum of entrepreneurship activities—a first glance based on German data," The Journal of Technology Transfer, Springer, vol. 48(4), pages 1243-1273, August.
    3. Catherine Perron & Dorian Ryser, 2011. "Mecklenburg-Vorpommern: a regional profile," Sciences Po publications info:hdl:2441/5konp4tce4s, Sciences Po.
    4. Oliver Falck & Stefan Kipar & Ludger Wößmann, 2011. "Innovationstätigkeit von Unternehmen : die Rolle von Qualifikationen, Kooperationen und Clusterpolitik," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 38.

  2. Rotfuß, Waldemar & Westerheide, Peter, 2008. "Höhe und Struktur der Vermögen privater Haushalte: Baden-Württemberg im Vergleich der Bundesländer," ZEW Expertises, ZEW - Leibniz Centre for European Economic Research, number 111467.

    Cited by:

    1. Rumpf, Dominik, 2013. "Zinsbereinigung bei der Dualen Einkommensteuer," Beiträge zur Finanzwissenschaft, Mohr Siebeck, Tübingen, edition 1, volume 32, number urn:isbn:9783161528699, Decembrie.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.