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Citations for "Modeling the price dynamics of CO2 emission allowances"

by Benz, Eva & Trück, Stefan

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  1. Amélie Charles & Olivier Darné & Jessica Fouilloux, 2013. "Market efficiency in the European carbon markets," Post-Print halshs-00846679, HAL.
  2. Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2009. "Options introduction and volatility in the EU ETS," Working Papers hal-00419339, HAL.
  3. Dannenberg, Henry & Ehrenfeld, Wilfried, 2010. "Stochastic Income Statement Planning and Emissions Trading," IWH Discussion Papers 4/2010, Halle Institute for Economic Research (IWH).
  4. Mo, Jian-Lei & Schleich, Joachim & Zhu, Lei & Fan, Ying, 2015. "Delaying the introduction of emissions trading systems—Implications for power plant investment and operation from a multi-stage decision model," Energy Economics, Elsevier, vol. 52(PB), pages 255-264.
  5. Anna Creti & Pierre-André Jouvet & Valérie Mignon, 2011. "Carbon Price Drivers: Phase I Versus Phase II Equilibrium?," Working Papers 2011-09, CEPII research center.
  6. Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafał, 2013. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," Energy Economics, Elsevier, vol. 39(C), pages 13-27.
  7. Amélie Charles & Olivier Darné & Jessica Fouilloux, 2010. "Testing the Martingale Difference Hypothesis in the EU ETS Markets for the CO2 Emission Allowances: Evidence from Phase I and Phase II," Working Papers hal-00473727, HAL.
  8. Zhen-Hua Feng & Yi-Ming Wei & Kai Wang, 2011. "Estimating risk for the carbon market via extreme value theory: An empirical analysis of the EU ETS," CEEP-BIT Working Papers 19, Center for Energy and Environmental Policy Research (CEEP), Beijing Institute of Technology.
  9. Hammoudeh, Shawkat & Lahiani, Amine & Nguyen, Duc Khuong & Sousa, Ricardo M., 2015. "An empirical analysis of energy cost pass-through to CO2 emission prices," Energy Economics, Elsevier, vol. 49(C), pages 149-156.
  10. Petr Cermak & Jarmila Zimmermannova & Jan Lavrincik & Miroslav Pokorny & Jiri Martinu, 2015. "The Broker Simulation Model in the Emission Allowances Trading Area," International Journal of Energy Economics and Policy, Econjournals, vol. 5(1), pages 80-95.
  11. Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
  12. Shawkat Hammoudeh & Amine Lahiani & Duc Khuong Nguyen & Ricardo M. Sousa, . "Asymmetric and nonlinear pass-through of energy prices to CO2 emission allowance prices," NIPE Working Papers 05/2014, NIPE - Universidade do Minho.
  13. Cristóbal, Jorge & Guillén-Gosálbez, Gonzalo & Kraslawski, Andrzej & Irabien, Angel, 2013. "Stochastic MILP model for optimal timing of investments in CO2 capture technologies under uncertainty in prices," Energy, Elsevier, vol. 54(C), pages 343-351.
  14. Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar, 2013. "Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals," Energy Economics, Elsevier, vol. 40(C), pages 222-232.
  15. repec:hal:journl:halshs-00384496 is not listed on IDEAS
  16. Kanamura, Takashi, 2016. "Role of carbon swap trading and energy prices in price correlations and volatilities between carbon markets," Energy Economics, Elsevier, vol. 54(C), pages 204-212.
  17. Ye, Dezhu & Liu, Shasha & Kong, Dongmin, 2013. "Do efforts on energy saving enhance firm values? Evidence from China's stock market," Energy Economics, Elsevier, vol. 40(C), pages 360-369.
  18. Rittler, Daniel, 2009. "Price Discovery, Causality and Volatility Spillovers in European Union Allowances Phase II: A High Frequency Analysis," Working Papers 0492, University of Heidelberg, Department of Economics.
  19. Crossland, Jarrod & Li, Bin & Roca, Eduardo, 2013. "Is the European Union Emissions Trading Scheme (EU ETS) informationally efficient? Evidence from momentum-based trading strategies," Applied Energy, Elsevier, vol. 109(C), pages 10-23.
  20. Steffen Mahringer & Marcel Prokopczuk, 2010. "An Empirical Model Comparison for Valuing Crack Spread Options," ICMA Centre Discussion Papers in Finance icma-dp2010-01, Henley Business School, Reading University.
  21. Hans Gersbach & Ralph Winkler, 2008. "International Emission Permit Markets with Refunding," CER-ETH Economics working paper series 08/97, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
  22. John Foster & Liam Wagner & Phil Wild & Junhua Zhao & Lucas Skoofa & Craig Froome, 2011. "Market and Economic Modelling of the Intelligent Grid: End of Year Report 2009," Energy Economics and Management Group Working Papers 09, School of Economics, University of Queensland, Australia.
  23. Shawkat Hammoudeh & Duc Khuong Nguyen & Ricardo M. Sousa, 2014. "What explains the short," Working Papers 2014-81, Department of Research, Ipag Business School.
  24. Kang, Sang Baum & Létourneau, Pascal, 2016. "Investors’ reaction to the government credibility problem: A real option analysis of emission permit policy risk," Energy Economics, Elsevier, vol. 54(C), pages 96-107.
  25. Luis A. Gil-Alana & Fernando Perez de Gracia & Rangan Gupta, 2015. "Modeling Persistence of Carbon Emission Allowance Prices," Working Papers 201515, University of Pretoria, Department of Economics.
  26. Maria Eugenia Sanin & Maria Mansanet-Bataller & Francesco Violante, 2015. "Understanding volatility dynamics in the EU-ETS market," CREATES Research Papers 2015-04, Department of Economics and Business Economics, Aarhus University.
  27. Ondrej Dvoulety & Jan Mares, 2016. "Determinants of Regional Entrepreneurial Activity in the Czech Republic," ACTA VSFS, University of Finance and Administration, vol. 10(1), pages 31-46.
  28. Jin Fan & Shanyong Wang & Yanrui Wu & Jun Li & Dingtao Zhao, 2015. "Buffer Effect and Price Effect of a Personal Carbon Trading Scheme," Economics Discussion / Working Papers 15-07, The University of Western Australia, Department of Economics.
  29. Ange Nsouadi & Jules Sadefo Kamdem & Michel Terraza, 2015. "Analyse temps-fréquence du co-mouvement entre le marché européen du CO2 et les autres marchés de l'énergie," Working Papers 15-08, LAMETA, Universtiy of Montpellier, revised May 2015.
  30. Shawkat Hammoudeh & Duc Khuong Nguyen & Ricardo M. Sousa, . "What explains the short-term dynamics of the prices of CO2 emissions?," NIPE Working Papers 04/2014, NIPE - Universidade do Minho.
  31. repec:dau:papers:123456789/4237 is not listed on IDEAS
  32. 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.
  33. Thijs Benschopa & Brenda López Cabrera, 2014. "Volatility Modelling of CO2 Emission Allowance Spot Prices with Regime-Switching GARCH Models," SFB 649 Discussion Papers SFB649DP2014-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  34. Beat Hintermann, 2009. "An Options Pricing Approach for CO2 Allowances in the EU ETS," CEPE Working paper series 09-64, CEPE Center for Energy Policy and Economics, ETH Zurich.
  35. Zheng, Zeyu & Xiao, Rui & Shi, Haibo & Li, Guihong & Zhou, Xiaofeng, 2015. "Statistical regularities of Carbon emission trading market: Evidence from European Union allowances," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 426(C), pages 9-15.
  36. Mawuli Segnon & Thomas Lux & Rangan Gupta, 2015. "Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-Type Volatility Models," Working Papers 201550, University of Pretoria, Department of Economics.
  37. Jana Simakova, 2016. "The Gravity Modelling of the Relationship between Exchange Rate Volatility and Foreign Trade in Visegrad Countries," ACTA VSFS, University of Finance and Administration, vol. 10(1), pages 7-30.
  38. Fagiani, Riccardo & Hakvoort, Rudi, 2014. "The role of regulatory uncertainty in certificate markets: A case study of the Swedish/Norwegian market," Energy Policy, Elsevier, vol. 65(C), pages 608-618.
  39. Yue-Jun Zhang & Yi-Ming Wei, 2009. "An overview of current research on EU ETS: Evidence from its operating mechanism and economic effect," CEEP-BIT Working Papers 3, Center for Energy and Environmental Policy Research (CEEP), Beijing Institute of Technology.
  40. Marc Gronwald & Janina Ketterer & Stefan Trück, 2011. "The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis," CESifo Working Paper Series 3418, CESifo Group Munich.
  41. Hintermann, Beat, 2010. "Allowance price drivers in the first phase of the EU ETS," Journal of Environmental Economics and Management, Elsevier, vol. 59(1), pages 43-56, January.
  42. Julien Chevallier & Benoît Sévi, 2014. "On the Stochastic Properties of Carbon Futures Prices," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 58(1), pages 127-153, May.
  43. Kim, Jeonghyun & Seo, Byeongseon, 2015. "Transaction Costs And Nonlinear Mean Reversion In The Eu Emission Trading Scheme," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 56(2), pages 281-296, December.
  44. Veith, Stefan & Werner, Jörg R. & Zimmermann, Jochen, 2009. "Capital market response to emission rights returns: Evidence from the European power sector," Energy Economics, Elsevier, vol. 31(4), pages 605-613, July.
  45. Palzer, Andreas & Westner, Günther & Madlener, Reinhard, 2013. "Evaluation of different hedging strategies for commodity price risks of industrial cogeneration plants," Energy Policy, Elsevier, vol. 59(C), pages 143-160.
  46. repec:ipg:wpaper:2014-081 is not listed on IDEAS
  47. Westner, Günther & Madlener, Reinhard, 2012. "Investment in new power generation under uncertainty: Benefits of CHP vs. condensing plants in a copula-based analysis," Energy Economics, Elsevier, vol. 34(1), pages 31-44.
  48. Shawkat Hammoudeh & Duc Khuong Nguyen & Ricardo M. Sousa, 2014. "Energy prices and CO2 emission allowance prices: A quantile regression approach," Working Papers 2014-185, Department of Research, Ipag Business School.
  49. Omid Sabbaghi & Navid Sabbaghi, 2014. "An empirical analysis of the Carbon Financial Instrument," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(2), pages 209-234, April.
  50. Otakar Schlossberger, 2016. "Economic and Legal Aspects of Electronic Money," ACTA VSFS, University of Finance and Administration, vol. 10(1), pages 47-65.
  51. Hintermann, Beat, 2012. "Pricing emission permits in the absence of abatement," Energy Economics, Elsevier, vol. 34(5), pages 1329-1340.
  52. Chevallier, Julien, 2011. "A model of carbon price interactions with macroeconomic and energy dynamics," Energy Economics, Elsevier, vol. 33(6), pages 1295-1312.
  53. Arouri, Mohamed El Hédi & Jawadi, Fredj & Nguyen, Duc Khuong, 2012. "Nonlinearities in carbon spot-futures price relationships during Phase II of the EU ETS," Economic Modelling, Elsevier, vol. 29(3), pages 884-892.
  54. Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2010. "Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency," Working Papers 0497, University of Heidelberg, Department of Economics.
  55. Sabbaghi, Omid & Sabbaghi, Navid, 2011. "Carbon Financial Instruments, thin trading, and volatility: Evidence from the Chicago Climate Exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 399-407.
  56. Nicolas Koch, 2014. "Dynamic linkages among carbon, energy and financial markets: a smooth transition approach," Applied Economics, Taylor & Francis Journals, vol. 46(7), pages 715-729, March.
  57. Chatzizacharia, Kalliopi & Benekis, Vasilis & Hatziavramidis, Dimitris, 2016. "A blueprint for an energy policy in Greece with considerations of climate change," Applied Energy, Elsevier, vol. 162(C), pages 382-389.
  58. Rammerstorfer, Margarethe & Eisl, Roland, 2011. "Carbon capture and storage—Investment strategies for the future?," Energy Policy, Elsevier, vol. 39(11), pages 7103-7111.
  59. Viteva, Svetlana & Veld-Merkoulova, Yulia V. & Campbell, Kevin, 2014. "The forecasting accuracy of implied volatility from ECX carbon options," Energy Economics, Elsevier, vol. 45(C), pages 475-484.
  60. Koenig, P., 2011. "Modelling Correlation in Carbon and Energy Markets," Cambridge Working Papers in Economics 1123, Faculty of Economics, University of Cambridge.
  61. Alexander C. M. Zeitlberger & Alexander Brauneis, 2016. "Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(1), pages 149-176, March.
  62. Keppler, Jan Horst & Cruciani, Michel, 2010. "Rents in the European power sector due to carbon trading," Energy Policy, Elsevier, vol. 38(8), pages 4280-4290, August.
  63. Carlos Pinho & Mara Madaleno, 2011. "Links between spot and futures allowances: ECX and EEX markets comparison," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 35(2/3/4), pages 101-131.
  64. Boersen, Arieke & Scholtens, Bert, 2014. "The relationship between European electricity markets and emission allowance futures prices in phase II of the EU (European Union) emission trading scheme," Energy, Elsevier, vol. 74(C), pages 585-594.
  65. Mazza, Paolo & Petitjean, Mikael, 2015. "How integrated is the European carbon derivatives market?," Finance Research Letters, Elsevier, vol. 15(C), pages 18-30.
  66. Reboredo, Juan C. & Ugando, Mikel, 2015. "Downside risks in EU carbon and fossil fuel markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 111(C), pages 17-35.
  67. Leon Vinokur, 2009. "Disposition in the Carbon Market and Institutional Constraints," Working Papers 652, Queen Mary University of London, School of Economics and Finance.
  68. Alberto M. Zanni & Abigail L. Bristow & Mark Wardman, 2013. "The potential behavioural effect of personal carbon trading: results from an experimental survey," Journal of Environmental Economics and Policy, Taylor & Francis Journals, vol. 2(2), pages 222-243, July.
  69. Koop, Gary & Tole, Lise, 2013. "Modeling the relationship between European carbon permits and certified emission reductions," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 166-181.
  70. Elliott, Robert J. & Lyle, Matthew R. & Miao, Hong, 2010. "A model for energy pricing with stochastic emission costs," Energy Economics, Elsevier, vol. 32(4), pages 838-847, July.
  71. Jia, Jun-Jun & Xu, Jin-Hua & Fan, Ying, 2016. "The impact of verified emissions announcements on the European Union emissions trading scheme: A bilaterally modified dummy variable modelling analysis," Applied Energy, Elsevier, vol. 173(C), pages 567-577.
  72. Aleksandar Zaklan, 2013. "Why Do Emitters Trade Carbon Permits?: Firm-Level Evidence from the European Emission Trading Scheme," Discussion Papers of DIW Berlin 1275, DIW Berlin, German Institute for Economic Research.
  73. de, Vries Frans & Montagnoli, Alberto, 2009. "Carbon trading thickness and market efficiency: A non-parametric test," Stirling Economics Discussion Papers 2009-22, University of Stirling, Division of Economics.
  74. repec:dau:papers:123456789/4598 is not listed on IDEAS
  75. Montagnoli, Alberto & de Vries, Frans P., 2010. "Carbon trading thickness and market efficiency," Energy Economics, Elsevier, vol. 32(6), pages 1331-1336, November.
  76. 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.
  77. Ange Nsouadi & Jules Sadefo Kamdem & Michel Terraza, 2013. "Analyse temps-fréquence de la relation entre les prix du quota et du crédit carbone," Working Papers 13-12, LAMETA, Universtiy of Montpellier, revised Nov 2013.
  78. Tol, Richard S.J., 2012. "A cost–benefit analysis of the EU 20/20/2020 package," Energy Policy, Elsevier, vol. 49(C), pages 288-295.
  79. 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).
  80. Byun, Suk Joon & Cho, Hangjun, 2013. "Forecasting carbon futures volatility using GARCH models with energy volatilities," Energy Economics, Elsevier, vol. 40(C), pages 207-221.
  81. 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.
  82. Beat Hintermann & Sonja Peterson & Wilfried Rickels, 2014. "Price and Market Behavior in Phase II of the EU ETS," Kiel Working Papers 1962, Kiel Institute for the World Economy.
  83. Federica Cucchiella & Idiano D’Adamo & Massimo Gastaldi, 2015. "Profitability Analysis for Biomethane: A Strategic Role in the Italian Transport Sector," International Journal of Energy Economics and Policy, Econjournals, vol. 5(2), pages 440-449.
  84. Bredin, Don & Muckley, Cal, 2011. "An emerging equilibrium in the EU emissions trading scheme," Energy Economics, Elsevier, vol. 33(2), pages 353-362, March.
  85. repec:ipg:wpaper:2014-082 is not listed on IDEAS
  86. A. Marcel Oestreich & Ilias Tsiakas, 2015. "Carbon Emissions and Stock Returns: Evidence from the EU Emissions Trading Scheme," Working Paper Series 15-18, The Rimini Centre for Economic Analysis.
  87. Daniela Spiesova, 2016. "Prediction of Emission Allowances Spot Prices Volatility with the Use of GARCH Models," ACTA VSFS, University of Finance and Administration, vol. 10(1), pages 66-79.
  88. repec:ipg:wpaper:2014-565 is not listed on IDEAS
  89. Kalaitzoglou, Iordanis & Ibrahim, Boulis M., 2013. "Does order flow in the European Carbon Futures Market reveal information?," Journal of Financial Markets, Elsevier, vol. 16(3), pages 604-635.
  90. Mizrach, Bruce, 2012. "Integration of the global carbon markets," Energy Economics, Elsevier, vol. 34(1), pages 335-349.
  91. 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.
  92. Claudia Kettner & Daniela Kletzan-Slamanig & Angela Köppl & Thomas Schinko & Andreas Türk, 2011. "ETCLIP – The Challenge of the European Carbon Market: Emission Trading, Carbon Leakage and Instruments to Stabilise the CO2 Price. Price Volatility in Carbon Markets: Why it Matters and How it Can be ," WIFO Working Papers 409, WIFO.
  93. Assoumou, Edi & Maïzi, Nadia, 2011. "Carbon value dynamics for France: A key driver to support mitigation pledges at country scale," Energy Policy, Elsevier, vol. 39(7), pages 4325-4336, July.
  94. Frank Venmans, 2015. "Capital market response to emission allowance prices: a multivariate GARCH approach," Environmental Economics and Policy Studies- The Official Journal of the Society for Environmental Economics and Policy Studies / The Official Journal of the East Asian Association of Environmental and, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 17(4), pages 577-620, October.
  95. Suzanne Shaw, 2010. "A two-sector model of the European Union Emissions Trading Scheme," Working Papers 1001, Chaire Economie du Climat.
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