Rolling over EUAs and CERs
Whatever derivative contract has a finite life limited by their maturity. The construction of long series, however, is of interest for academic, hedging and investments purposes. In this study, we analyze the relevance of the choice of the rollover date on European Union Allowances (EUAs) and Certified Emissions Reduction (CERs) futures contracts. We have used five different methodologies to construct long series and the results show that, regardless of the criterion applied, there are not significant differences between the resultant return distribution series. Therefore, the least complex method, which is to roll on the last trading day, can be used in order to reach the same conclusions. Additional liquidity analysis confirms this method as the optimum method to link EUAs and CERs series, indicating that simplicity when linking EUAs and CERs series is not at odds with liquidity.
|Date of creation:||May 2012|
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- Rittler, Daniel, 2012. "Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 774-785.
- Chevallier, Julien, 2010. "EUAs and CERs : Vector autoregression, impulse response function and cointegration analysis," Economics Papers from University Paris Dauphine 123456789/4226, Paris Dauphine University.
- Julien Chevallier & Benoît Sévi, 2009.
"On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting,"
EconomiX Working Papers
2009-24, University of Paris West - Nanterre la Défense, EconomiX.
- Julien Chevallier & Benoît Sévi, 2011. "On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting," Annals of Finance, Springer, vol. 7(1), pages 1-29, February.
- Julien Chevallier & Benoît Sévi, 2009. "On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting," Working Papers 2009.113, Fondazione Eni Enrico Mattei.
- Sévi, Benoît & Chevallier, Julien, 2011. "On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting," Economics Papers from University Paris Dauphine 123456789/4598, Paris Dauphine University.
- Chevallier, Julien, 2011.
"A model of carbon price interactions with macroeconomic and energy dynamics,"
Economics Papers from University Paris Dauphine
123456789/6969, Paris Dauphine University.
- Chevallier, Julien, 2011. "A model of carbon price interactions with macroeconomic and energy dynamics," Energy Economics, Elsevier, vol. 33(6), pages 1295-1312.
- repec:ebl:ecbull:v:30:y:2010:i:1:p:558-576 is not listed on IDEAS
- Maria Mansanet-Bataller & Ángel Pardo, 2008. "What You Should Know About Carbon Markets," Energies, MDPI, Open Access Journal, vol. 1(3), pages 120-153, December.
- Vicente Medina Martínez & Ángel Pardo Tornero & Roberto Pascual, 2012. "The timeline of trading fricions in the European Carbon Market," Working Papers. Serie AD 2012-05, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
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