The goodness-of-fit of the fuel-switching price using the mean-reverting Lévy jump process
Download full text from publisher
References listed on IDEAS
- Alberola, Emilie & Chevallier, Julien & Chèze, Benoît, 2009. "Emissions Compliances and Carbon Prices under the EU ETS: A Country Specific Analysis of Industrial Sectors," Journal of Policy Modeling, Elsevier, vol. 31(3), pages 446-462, May.
- St'ephane Goutte & Nadia Oudjane & Francesco Russo, 2013. "Variance optimal hedging for continuous time additive processes and applications," Papers 1302.1965, arXiv.org.
- Emilie Alberola & Julien Chevallier, 2009.
"European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007),"
The Energy Journal,
International Association for Energy Economics, vol. 0(Number 3), pages 51-80.
- Emilie Alberola & Julien Pierre Chevallier, 2007. "European carbon prices and banking restrictions: evidence from phase I (2005-2007)," EconomiX Working Papers 2007-32, University of Paris Nanterre, EconomiX.
- Emilie Alberola & Julien Chevallier, 2009. "European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007)," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00649923, HAL.
- 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.
- Yihsu Chen & Jos Sijm & Benjamin Hobbs & Wietze Lise, 2008. "Implications of CO 2 emissions trading for short-run electricity market outcomes in northwest Europe," Journal of Regulatory Economics, Springer, vol. 34(3), pages 251-281, December.
- Eduardo Schwartz & James E. Smith, 2000. "Short-Term Variations and Long-Term Dynamics in Commodity Prices," Management Science, INFORMS, vol. 46(7), pages 893-911, July.
- Jun Liu & Francis A. Longstaff & Jun Pan, 2003.
"Dynamic Asset Allocation with Event Risk,"
Journal of Finance,
American Finance Association, vol. 58(1), pages 231-259, February.
- Liu, Jun & Longstaff, Francis & Pan, Jun, 2001. "Dynamic Asset Allocation with Event Risk," University of California at Los Angeles, Anderson Graduate School of Management qt9fm6t5nb, Anderson Graduate School of Management, UCLA.
- Jun Liu & Francis A. Longstaff & Jun Pan, 2002. "Dynamic Asset Allocation With Event Risk," NBER Working Papers 9103, National Bureau of Economic Research, Inc.
- Chevallier, Julien & Ielpo, Florian & Mercier, Ludovic, 2009. "Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event," Energy Policy, Elsevier, vol. 37(1), pages 15-28, January.
- Emilie Alberola & Benoît Chèze & Julien Chevallier, 2008. "The EU Emissions Trading Scheme : Disentangling the Effects of Industrial Production and CO2 Emissions on Carbon Prices," EconomiX Working Papers 2008-12, University of Paris Nanterre, EconomiX.
- repec:dau:papers:123456789/4210 is not listed on IDEAS
- René Carmona & Juri Hinz, 2011. "Risk-Neutral Models for Emission Allowance Prices and Option Valuation," Management Science, INFORMS, vol. 57(8), pages 1453-1468, August.
- Martzoukos, Spiros H. & Trigeorgis, Lenos, 2002. "Real (investment) options with multiple sources of rare events," European Journal of Operational Research, Elsevier, vol. 136(3), pages 696-706, February.
- Emilie Alberola & Julien Chevallier & Benoît Chèze, 2009. "Emissions Compliances and Carbon Prices under the EU ETS: A Country Specific Analysis of Industrial SectorsEmissions Compliances and Carbon Price," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00649925, HAL.
- Cetin, Umut & Verschuere, Michel, 2009. "Pricing and hedging in carbon emissions markets," LSE Research Online Documents on Economics 29321, London School of Economics and Political Science, LSE Library.
- Panagiotidis, Theodore & Rutledge, Emilie, 2007. "Oil and gas markets in the UK: Evidence from a cointegrating approach," Energy Economics, Elsevier, vol. 29(2), pages 329-347, March.
- Schwartz, Eduardo S, 1997. " The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging," Journal of Finance, American Finance Association, vol. 52(3), pages 923-973, July.
- Julien Chevallier & Benoît Sévi, 2014.
"On the Stochastic Properties of Carbon Futures Prices,"
Environmental & Resource Economics,
Springer;European Association of Environmental and Resource Economists, vol. 58(1), pages 127-153, May.
- Julien Chevallier & Benoît Sévi, 2012. "On the Stochastic Properties of Carbon Futures Prices," Working Papers halshs-00720166, HAL.
- Julien Chevallier & Benoît Sévi, 2014. "On the Stochastic Properties of Carbon Futures Prices," Post-Print hal-01474249, HAL.
- repec:dau:papers:123456789/4221 is not listed on IDEAS
- Zili Zhu & Paul Graham & Luke Reedman & Thomas Lo, 2009. "A scenario-based integrated approach for modeling carbon price risk," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 32(1), pages 35-48, May.
- Juri Hinz & Alex Novikov, 2009. "On Fair Pricing of Emission-Related Derivatives," Research Paper Series 257, Quantitative Finance Research Centre, University of Technology, Sydney.
- Ballotta, Laura, 2005. "A Lévy process-based framework for the fair valuation of participating life insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 173-196, October.
- Chevallier, Julien, 2009. "Carbon futures and macroeconomic risk factors: A view from the EU ETS," Energy Economics, Elsevier, vol. 31(4), pages 614-625, July.
- Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474, September.
- 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.
- Emilic Alberola & Julien Chevallier & Benoit Cheze, 2008. "The EU Emissions Trading Scheme: the Effects of Industrial Production and CO2 Emissions on Carbon Prices," Economie Internationale, CEPII research center, issue 116, pages 93-126.
- Delarue, Erik & Lamberts, Hans & D’haeseleer, William, 2007. "Simulating greenhouse gas (GHG) allowance cost and GHG emission reduction in Western Europe," Energy, Elsevier, vol. 32(8), pages 1299-1309.
- Kassberger, Stefan & Kiesel, Rüdiger & Liebmann, Thomas, 2008. "Fair valuation of insurance contracts under Lévy process specifications," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 419-433, February.
- repec:dau:papers:123456789/11677 is not listed on IDEAS
- Daskalakis, George & Psychoyios, Dimitris & Markellos, Raphael N., 2009. "Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1230-1241, July.
- repec:dau:papers:123456789/2267 is not listed on IDEAS
- Jakša Cvitanić & Vassilis Polimenis & Fernando Zapatero, 2008. "Optimal portfolio allocation with higher moments," Annals of Finance, Springer, vol. 4(1), pages 1-28, January.
- repec:dau:papers:123456789/4224 is not listed on IDEAS
More about this item
KeywordsCO2; Fuel-Switching; Lévy Jump process; Mean-reversion; Normal Inverse Gaussian; Variance Gamma; Model fit; Heavy tails; Goodness-of-fit testing.;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ipg:wpaper:2014-285. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ingmar Schumacher). General contact details of provider: http://edirc.repec.org/data/ipagpfr.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.