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Forecasting Strategies for Carbon Allowances Prices: From Classic Arbitrage Pricing Theory to Switching Regimes

Author

Listed:
  • Dominique Guegan

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

  • Marius-Cristian Frunza

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, Sagacarbon - Subsidiary of Caisse des Dépôts et Consignations)

  • Antonin Lassoudière

    (Sagacarbon - Sagacarbon SA)

Abstract

No abstract is available for this item.

Suggested Citation

  • Dominique Guegan & Marius-Cristian Frunza & Antonin Lassoudière, 2010. "Forecasting Strategies for Carbon Allowances Prices: From Classic Arbitrage Pricing Theory to Switching Regimes," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00645890, HAL.
    • Handle: RePEc:hal:cesptp:halshs-00645890
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    Cited by:

    1. Marius-Cristian Frunza & Dominique Guegan & Fabrice Thiebaut, 2010. "Missing trader fraud on the emissions market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00523512, HAL.
    2. Marius-Cristian Frunza & Dominique Guegan & Fabrice Thiebaut, 2010. "Missing trader fraud on the emissions market," Post-Print halshs-00523512, HAL.

    More about this item

    Keywords

    CO2; pricing; Markov; Switching;
    All these keywords.

    JEL classification:

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