Hedging With Futures Contract: Estimation and Performance Evaluation of Optimal Hedge Ratios in the European Union Emissions Trading Scheme
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- Hintermann, Beat, 2010.
"Allowance price drivers in the first phase of the EU ETS,"
Journal of Environmental Economics and Management,
Elsevier, vol. 59(1), pages 43-56, January.
- Beat Hintermann, 2009. "Allowance Price Drivers in the First Phase of the EU ETS," CEPE Working paper series 09-63, CEPE Center for Energy Policy and Economics, ETH Zurich.
- Seifert, Jan & Uhrig-Homburg, Marliese & Wagner, Michael, 2008. "Dynamic behavior of CO2 spot prices," Journal of Environmental Economics and Management, Elsevier, vol. 56(2), pages 180-194, September.
- Wenling Yang & David E. Allen, 2005. "Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 45(2), pages 301-321.
- Donald Lien & Y. K. Tse & Albert Tsui, 2002. "Evaluating the hedging performance of the constant-correlation GARCH model," Applied Financial Economics, Taylor & Francis Journals, vol. 12(11), pages 791-798.
- Alberola, Emilie & Chevallier, Julien & Cheze, Benoi^t, 2008. "Price drivers and structural breaks in European carbon prices 2005-2007," Energy Policy, Elsevier, vol. 36(2), pages 787-797, February.
- Dimitris Kenourgios & Aristeidis Samitas & Panagiotis Drosos, 2005. "Hedge ratio estimation and hedging effectiveness: the case of the S&P 500 stock index futures contract," Finance 0512018, EconWPA.
- Ronald D. Ripple & Imad A. Moosa, 2007. "Hedging effectiveness and futures contract maturity: the case of NYMEX crude oil futures," Applied Financial Economics, Taylor & Francis Journals, vol. 17(9), pages 683-689.
- Abdulnasser Hatemi-J & Eduardo Roca, 2006. "Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach," Applied Economics Letters, Taylor & Francis Journals, vol. 13(5), pages 293-299.
- Copeland, Laurence & Zhu, Yanhui, 2006. "Hedging Effectiveness in the Index Futures Market," Cardiff Economics Working Papers E2006/10, Cardiff University, Cardiff Business School, Economics Section. Full references (including those not matched with items on IDEAS)
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