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Modeling the dynamics of European carbon futures price: a Zipf analysis

Author

Listed:
  • Bangzhu Zhu
  • Shujiao Ma
  • Julien Chevallier
  • Yiming Wei

Abstract

This article investigates the European carbon futures price dynamics by applying the Zipf analysis. The results show that: first, carbon price behaviour is asymmetric, and the long-term bearish probability is greater than the long-term bullish probability

Suggested Citation

  • Bangzhu Zhu & Shujiao Ma & Julien Chevallier & Yiming Wei, 2014. "Modeling the dynamics of European carbon futures price: a Zipf analysis," Working Papers 2014-155, Department of Research, Ipag Business School.
  • Handle: RePEc:ipg:wpaper:2014-155
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    References listed on IDEAS

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    Cited by:

    1. repec:eee:eneeco:v:67:y:2017:i:c:p:213-223 is not listed on IDEAS
    2. Balcılar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2016. "Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk," Energy Economics, Elsevier, vol. 54(C), pages 159-172.
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    9. repec:ipg:wpaper:2014-535 is not listed on IDEAS
    10. repec:ipg:wpaper:2014-481 is not listed on IDEAS
    11. Zhao Liu & Ling Li & Yue-Jun Zhang, 2015. "Investigating the CO 2 emission differences among China’s transport sectors and their influencing factors," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 77(2), pages 1323-1343, June.
    12. repec:ipg:wpaper:2014-547 is not listed on IDEAS
    13. repec:ipg:wpaper:2014-502 is not listed on IDEAS
    14. 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.
    15. repec:ipg:wpaper:2014-552 is not listed on IDEAS
    16. repec:ipg:wpaper:2014-549 is not listed on IDEAS
    17. repec:ipg:wpaper:2014-545 is not listed on IDEAS
    18. repec:ipg:wpaper:2014-494 is not listed on IDEAS

    More about this item

    Keywords

    EU ETS; carbon futures price; Zipf analysis; expectation of return; time-scale of investment;

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