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

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  • 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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    Keywords

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