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Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme

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Cited by:

  1. Hervé-Mignucci, Morgan, 2011. "Rôle du signal prix du carbone sur les décisions d'investissement des entreprises," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/8200 edited by Keppler, Jan Horst.
  2. Georg Grüll & Luca Taschini, 2009. "A Comparison of Reduced-Form Permit Price Models and their Empirical Performances," Working Papers 0918, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research.
  3. Xiangjun Chen & Bo Yan, 2024. "Research on jumps and volatility in China’s carbon market," Economic Change and Restructuring, Springer, vol. 57(1), pages 1-43, February.
  4. 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.
  5. Jilin Zhang & Yukun Xu, 2020. "Research on the Price Fluctuation and Risk Formation Mechanism of Carbon Emission Rights in China Based on a GARCH Model," Sustainability, MDPI, vol. 12(10), pages 1-11, May.
  6. 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.
  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. Lovcha, Yuliya & Pérez Laborda, Àlex & Sikora, Iryna, 2019. "The Determinants of CO2 prices in the EU ETS System," Working Papers 2072/376031, Universitat Rovira i Virgili, Department of Economics.
  9. 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.
  10. Mengrui Zhu & Hua Xu & Xingyu Gao & Minggang Wang & André L. M. Vilela & Lixin Tian, 2022. "Identification of Breakpoints in Carbon Market Based on Probability Density Recurrence Network," Energies, MDPI, vol. 15(15), pages 1-18, July.
  11. Thijs Benschop & Brenda López Cabrera, 2017. "Realized volatility of CO2 futures," SFB 649 Discussion Papers SFB649DP2017-025, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  12. Panagiotis G. Papaioannou & George P. Papaioannou & Kostas Siettos & Akylas Stratigakos & Christos Dikaiakos, 2017. "Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece," Papers 1708.07063, arXiv.org.
  13. Shawkat Hammoudeh & Amine Lahiani & Duc Khuong Nguyen & Ricardo M. Sousa, 2014. "Asymmetric and nonlinear passthrough of energy prices to CO2 emission allowance prices," Working Papers 2014-82, Department of Research, Ipag Business School.
  14. Federico Galán-Valdivieso & Elena Villar-Rubio & María-Dolores Huete-Morales, 2018. "The erratic behaviour of the EU ETS on the path towards consolidation and price stability," International Environmental Agreements: Politics, Law and Economics, Springer, vol. 18(5), pages 689-706, October.
  15. Gwang Goo Lee & Sung-Won Ham, 2023. "Prediction of Carbon Price in EU-ETS Using a Geometric Brownian Motion Model and Its Application to Analyze the Economic Competitiveness of Carbon Capture and Storage," Energies, MDPI, vol. 16(17), pages 1-13, August.
  16. Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2012. "Modeling and explaining the dynamics of European Union Allowance prices at high-frequency," Energy Economics, Elsevier, vol. 34(1), pages 316-326.
  17. Fang, Sheng & Lu, Xinsheng & Li, Jianfeng & Qu, Ling, 2018. "Multifractal detrended cross-correlation analysis of carbon emission allowance and stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 551-566.
  18. Bredin, Don & Muckley, Cal, 2011. "An emerging equilibrium in the EU emissions trading scheme," Energy Economics, Elsevier, vol. 33(2), pages 353-362, March.
  19. repec:ipg:wpaper:2014-565 is not listed on IDEAS
  20. 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.
  21. Xu, Li & Deng, Shi-Jie & Thomas, Valerie M., 2016. "Carbon emission permit price volatility reduction through financial options," Energy Economics, Elsevier, vol. 53(C), pages 248-260.
  22. Chassagneux Jean-Francois & Chotai Hinesh & Crisan Dan, 2020. "Modelling multi-period carbon markets using singular forward backward SDEs," Papers 2008.09044, arXiv.org.
  23. Hintermann, Beat & Peterson, Sonja & Rickels, Wilfried, 2014. "Price and market behavior in Phase II of the EU ETS," Kiel Working Papers 1962, Kiel Institute for the World Economy (IfW Kiel).
  24. Martin Stefan & Claudia Wellenreuther, 2019. "London vs. Leipzig: Price Discovery of Carbon Futures during Phase III of the ETS," CQE Working Papers 8719, Center for Quantitative Economics (CQE), University of Muenster.
  25. 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.
  26. Charles, Amélie & Darné, Olivier & Fouilloux, Jessica, 2011. "Testing the martingale difference hypothesis in CO2 emission allowances," Economic Modelling, Elsevier, vol. 28(1), pages 27-35.
  27. Charles, Amélie & Darné, Olivier & Fouilloux, Jessica, 2013. "Market efficiency in the European carbon markets," Energy Policy, Elsevier, vol. 60(C), pages 785-792.
  28. Otakar Schlossberger, 2016. "Economic and Legal Aspects of Electronic Money," ACTA VSFS, University of Finance and Administration, vol. 10(1), pages 47-65.
  29. Chia-Lin Chang & Te-Ke Mai & Michael Mcaleer, 2018. "Pricing Carbon Emissions In China," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 1-37, September.
  30. Xinghua Fan & Ying Zhang & Jiuli Yin, 2018. "Evolutionary Analysis of a Three-Dimensional Carbon Price Dynamic System," Sustainability, MDPI, vol. 11(1), pages 1-15, December.
  31. Chevallier, Julien & Le Pen, Yannick & Sévi, Benoît, 2011. "Options introduction and volatility in the EU ETS," Resource and Energy Economics, Elsevier, vol. 33(4), pages 855-880.
  32. Lovcha, Yuliya & Perez-Laborda, Alejandro & Sikora, Iryna, 2022. "The determinants of CO2 prices in the EU emission trading system," Applied Energy, Elsevier, vol. 305(C).
  33. Segnon, Mawuli & Lux, Thomas & Gupta, Rangan, 2017. "Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models," Renewable and Sustainable Energy Reviews, Elsevier, vol. 69(C), pages 692-704.
  34. Xi Jin & Bin Zou & Chan Wang & Kaifeng Rao & Xiaowen Tang, 2019. "Carbon Emission Allocation in a Chinese Province-Level Region Based on Two-Stage Network Structures," Sustainability, MDPI, vol. 11(5), pages 1-24, March.
  35. Marc Gronwald & Janina Ketterer, 2009. "Evaluating emissions trading as a policy instrument," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 62(11), pages 22-25, June.
  36. Fan, Ying & Jia, Jun-Jun & Wang, Xin & Xu, Jin-Hua, 2017. "What policy adjustments in the EU ETS truly affected the carbon prices?," Energy Policy, Elsevier, vol. 103(C), pages 145-164.
  37. 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.
  38. Kovacevic, Raimund M. & Paraschiv, Florentina, 2012. "Medium-term Planning for Thermal Electricity Production," Working Papers on Finance 1220, University of St. Gallen, School of Finance.
  39. Kalaitzoglou, Iordanis Angelos & Ibrahim, Boulis Maher, 2015. "Liquidity and resolution of uncertainty in the European carbon futures market," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 89-102.
  40. Fu, Yang & Zheng, Zeyu, 2020. "Volatility modeling and the asymmetric effect for China’s carbon trading pilot market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).
  41. Creti, Anna & Jouvet, Pierre-André & Mignon, Valérie, 2012. "Carbon price drivers: Phase I versus Phase II equilibrium?," Energy Economics, Elsevier, vol. 34(1), pages 327-334.
  42. Marc Lamphiere & Jonathan Blackledge & Derek Kearney, 2021. "Carbon Futures Trading and Short-Term Price Prediction: An Analysis Using the Fractal Market Hypothesis and Evolutionary Computing," Mathematics, MDPI, vol. 9(9), pages 1-32, April.
  43. Fan, Xinghua & Li, Xuxia & Yin, Jiuli & Tian, Lixin & Liang, Jiaochen, 2019. "Similarity and heterogeneity of price dynamics across China’s regional carbon markets: A visibility graph network approach," Applied Energy, Elsevier, vol. 235(C), pages 739-746.
  44. 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.
  45. Jianfen Feng & Xiaowei Huang & Juyue Hou & Chunxia Wang & Yan Zeng, 2018. "Carbon Bond Pricing And Model Selection," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 63(02), pages 465-481, March.
  46. Cretí, Anna & Joëts, Marc, 2017. "Multiple bubbles in the European Union Emission Trading Scheme," Energy Policy, Elsevier, vol. 107(C), pages 119-130.
  47. 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.
  48. Philip, Dennis & Shi, Yukun, 2016. "Optimal hedging in carbon emission markets using Markov regime switching models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 1-15.
  49. Uddin, Gazi Salah & Hernandez, Jose Areola & Shahzad, Syed Jawad Hussain & Hedström, Axel, 2018. "Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets," Energy Economics, Elsevier, vol. 71(C), pages 35-46.
  50. Zhang, Yue-Jun & Wei, Yi-Ming, 2010. "An overview of current research on EU ETS: Evidence from its operating mechanism and economic effect," Applied Energy, Elsevier, vol. 87(6), pages 1804-1814, June.
  51. Halkos, George, 2014. "The Economics of Climate Change Policy: Critical review and future policy directions," MPRA Paper 56841, University Library of Munich, Germany.
  52. Stefan Trück & Rafał Weron, 2016. "Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(6), pages 587-611, June.
  53. Montagnoli, Alberto & de Vries, Frans P., 2010. "Carbon trading thickness and market efficiency," Energy Economics, Elsevier, vol. 32(6), pages 1331-1336, November.
  54. 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.
  55. 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.
  56. Gavard, Claire & Kirat, Djamel, 2018. "Flexibility in the market for international carbon credits and price dynamics difference with European allowances," Energy Economics, Elsevier, vol. 76(C), pages 504-518.
  57. Nazifi, Fatemeh, 2013. "Modelling the price spread between EUA and CER carbon prices," Energy Policy, Elsevier, vol. 56(C), pages 434-445.
  58. Blyth, William & Bunn, Derek, 2011. "Coevolution of policy, market and technical price risks in the EU ETS," Energy Policy, Elsevier, vol. 39(8), pages 4578-4593, August.
  59. Zhou, Wenji & Zhu, Bing & Fuss, Sabine & Szolgayová, Jana & Obersteiner, Michael & Fei, Weiyang, 2010. "Uncertainty modeling of CCS investment strategy in China's power sector," Applied Energy, Elsevier, vol. 87(7), pages 2392-2400, July.
  60. Daskalakis, George, 2013. "On the efficiency of the European carbon market: New evidence from Phase II," Energy Policy, Elsevier, vol. 54(C), pages 369-375.
  61. Guo, Huaying & Liang, Jin, 2016. "An optimal control model for reducing and trading of carbon emissions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 446(C), pages 11-21.
  62. 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.
  63. Marc Chesney & Luca Taschini, 2008. "The Endogenous Price Dynamics of the Emission Allowances: An Application to CO2 Option Pricing," Swiss Finance Institute Research Paper Series 08-02, Swiss Finance Institute, revised Jan 2008.
  64. Thomas Aspinall & Adrian Gepp & Geoff Harris & Simone Kelly & Colette Southam & Bruce Vanstone, 2021. "Estimation of a term structure model of carbon prices through state space methods: The European Union emissions trading scheme," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(2), pages 3797-3819, June.
  65. 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.
  66. Medina, Vicente & Pardo, Ángel & Pascual, Roberto, 2014. "The timeline of trading frictions in the European carbon market," Energy Economics, Elsevier, vol. 42(C), pages 378-394.
  67. Gil-Alana, Luis A. & Gupta, Rangan & de Gracia, Fernando Perez, 2016. "Modeling persistence of carbon emission allowance prices," Renewable and Sustainable Energy Reviews, Elsevier, vol. 55(C), pages 221-226.
  68. Lyu, Chenyan, 2021. "Regional Carbon Markets in China: Cointegration and Heterogeneity," Working Papers 13-2021, Copenhagen Business School, Department of Economics.
  69. Lei, Heng & Xue, Minggao & Liu, Huiling, 2022. "Probability distribution forecasting of carbon allowance prices: A hybrid model considering multiple influencing factors," Energy Economics, Elsevier, vol. 113(C).
  70. John Hua Fan & Eduardo Roca & Alexandr Akimov, 2014. "Estimation and performance evaluation of optimal hedge ratios in the carbon market of the European Union Emissions Trading Scheme," Australian Journal of Management, Australian School of Business, vol. 39(1), pages 73-91, February.
  71. Hammoudeh, Shawkat & Nguyen, Duc Khuong & Sousa, Ricardo M., 2014. "Energy prices and CO2 emission allowance prices: A quantile regression approach," Energy Policy, Elsevier, vol. 70(C), pages 201-206.
  72. Chevallier, Julien, 2011. "Detecting instability in the volatility of carbon prices," Energy Economics, Elsevier, vol. 33(1), pages 99-110, January.
  73. Fan, Xinghua & Lv, Xiangxiang & Yin, Jiuli & Tian, Lixin & Liang, Jiaochen, 2019. "Multifractality and market efficiency of carbon emission trading market: Analysis using the multifractal detrended fluctuation technique," Applied Energy, Elsevier, vol. 251(C), pages 1-1.
  74. Feng, Ling & Wang, Jieyu, 2023. "Random sources correlations and carbon futures pricing," International Review of Financial Analysis, Elsevier, vol. 86(C).
  75. Cummins, Mark, 2013. "EU ETS market interactions: The case for multiple hypothesis testing approaches," Applied Energy, Elsevier, vol. 111(C), pages 701-709.
  76. Kapoor, Nimisha & Ghosh, Sajal, 2014. "Long-term association between European and Indian markets on carbon credit price," Renewable and Sustainable Energy Reviews, Elsevier, vol. 38(C), pages 656-662.
  77. Suzanne Shaw, 2010. "A two-sector model of the European Union Emissions Trading Scheme," Working Papers 1001, Chaire Economie du climat.
  78. George P. Papaioannou & Christos Dikaiakos & Akylas Stratigakos & Anargyros Dramountanis & Antonio T. Alexandridis, 2018. "Using a Rolling Vector Error Correction Model to Model Static and Dynamic Causal Relations between Electricity Spot Price and Related Fundamental Factors: The Case of Greek Electricity Market," International Journal of Energy Economics and Policy, Econjournals, vol. 8(1), pages 38-54.
  79. Knight, Eric, 2010. "The Economic Geography of European Carbon Market Trading," Working Papers 249382, Australian National University, Centre for Climate Economics & Policy.
  80. 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.
  81. Zdeněk Hlávka & Marie Hušková & Claudia Kirch & Simos G. Meintanis, 2017. "Fourier--type tests involving martingale difference processes," Econometric Reviews, Taylor & Francis Journals, vol. 36(4), pages 468-492, April.
  82. Steffen Hitzemann & Marliese Uhrig-Homburg, 2019. "Empirical performance of reduced-form models for emission permit prices," Review of Derivatives Research, Springer, vol. 22(3), pages 389-418, October.
  83. Yinpeng Zhang & Zhixin Liu & Xueying Yu, 2017. "The Diversification Benefits of Including Carbon Assets in Financial Portfolios," Sustainability, MDPI, vol. 9(3), pages 1-13, March.
  84. Xiaojian Su & Chao Deng, 2019. "The heterogeneous effects of exchange rate and stock market on CO2 emission allowance price in China: A panel quantile regression approach," PLOS ONE, Public Library of Science, vol. 14(8), pages 1-11, August.
  85. Massimiliano Caporin & Fulvio Fontini & Samuele Segato, 2021. "Has the EU-ETS Financed the Energy Transition of the Italian Power System?," IJFS, MDPI, vol. 9(4), pages 1-15, December.
  86. Zhao, Xin-gang & Wu, Lei & Li, Ang, 2017. "Research on the efficiency of carbon trading market in China," Renewable and Sustainable Energy Reviews, Elsevier, vol. 79(C), pages 1-8.
  87. Feria-Domínguez, José Manuel & Rodriguez-Carrillero, David & Guerra-Martinez, José Carlos, 2018. "Measuring the risk-adjusted performance of CO2 emission markets: Evidence from SENDECO2," Utilities Policy, Elsevier, vol. 50(C), pages 124-132.
  88. repec:ipg:wpaper:2014-082 is not listed on IDEAS
  89. Heijmans, Roweno J.R.K., 2023. "Adjustable emissions caps and the price of pollution," Journal of Environmental Economics and Management, Elsevier, vol. 118(C).
  90. Massimo Peri & Lucia Baldi, 2011. "Nonlinear price dynamics between CO2 futures and Brent," Applied Economics Letters, Taylor & Francis Journals, vol. 18(13), pages 1207-1211.
  91. 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.
  92. 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.
  93. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2015. "Is carbon emissions trading profitable?," Economic Modelling, Elsevier, vol. 47(C), pages 84-92.
  94. Marc Gronwald & Janina Ketterer, 2012. "What Moves the European Carbon Market? - Insights from Conditional Jump Models," CESifo Working Paper Series 3795, CESifo.
  95. Julien Chevallier & Benoît Sévi, 2009. "On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting," Working Papers hal-04140871, HAL.
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  97. Yonghong Cheng & Zhongkai Xiong & Qinglin Luo, 2018. "Joint Pricing and Product Carbon Footprint Decisions and Coordination of Supply Chain with Cap-and-Trade Regulation," Sustainability, MDPI, vol. 10(2), pages 1-24, February.
  98. Iordanis Angelos Kalaitzoglou & Boulis Maher Ibrahim, 2015. "Liquidity and resolution of uncertainty in the European carbon futures market," Post-Print hal-01107956, HAL.
  99. Vicente Medina Martínez & Ángel Pardo Tornero, 2012. "Stylized facts of CO2 returns," Working Papers. Serie AD 2012-14, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  100. Wang, Xinyu & Sethi, Suresh P. & Chang, Shuhua, 2022. "Pollution abatement using cap-and-trade in a dynamic supply chain and its coordination," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 158(C).
  101. 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.
  102. Chia-Lin Chang & Michael McAleer, 2019. "Modeling Latent Carbon Emission Prices for Japan: Theory and Practice," Energies, MDPI, vol. 12(21), pages 1-21, November.
  103. Abate, Arega Getaneh & Riccardi, Rossana & Ruiz, Carlos, 2021. "Contracts in electricity markets under EU ETS: A stochastic programming approach," Energy Economics, Elsevier, vol. 99(C).
  104. 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.
  105. Yan, Kai & Zhang, Wei & Shen, Dehua, 2020. "Stylized facts of the carbon emission market in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 555(C).
  106. 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.
  107. Katsushi Nakajima & Kazuhiko Ohashi, 2013. "Emission Allowance as a Derivative on Commodity-Spread," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(2), pages 183-217, May.
  108. Krishnamurti, Chandrasekhar & Hoque, Ariful, 2011. "Efficiency of European emissions markets: Lessons and implications," Energy Policy, Elsevier, vol. 39(10), pages 6575-6582, October.
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  110. 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.
  111. Daskalakis, George, 2018. "Temporal restrictions on emissions trading and the implications for the carbon futures market: Lessons from the EU emissions trading scheme," Energy Policy, Elsevier, vol. 115(C), pages 88-91.
  112. Girardet, Daniel & Spinler, Stefan, 2013. "Surcharge management of kerosene and CO2 costs for airlines under the EU's emission trading," Journal of Air Transport Management, Elsevier, vol. 26(C), pages 25-30.
  113. Juri Hinz & Alex Novikov, 2009. "On Fair Pricing of Emission-Related Derivatives," Research Paper Series 257, Quantitative Finance Research Centre, University of Technology, Sydney.
  114. Dannenberg, Henry & Ehrenfeld, Wilfried, 2010. "Stochastic Income Statement Planning and Emissions Trading," IWH Discussion Papers 4/2010, Halle Institute for Economic Research (IWH).
  115. Palao, Fernando & Pardo, Ángel, 2021. "The inconvenience yield of carbon futures," Energy Economics, Elsevier, vol. 101(C).
  116. Chang-Yi Li & Son-Nan Chen & Shih-Kuei Lin, 2016. "Pricing derivatives with modeling CO emission allowance using a regime-switching jump diffusion model: with regime-switching risk premium," The European Journal of Finance, Taylor & Francis Journals, vol. 22(10), pages 887-908, August.
  117. Shawkat Hammoudeh & Duc Khuong Nguyen & Ricardo M. Sousa, 2014. "What explains the short," Working Papers 2014-81, Department of Research, Ipag Business School.
  118. 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.
  119. Paul Amadieu & Jean-Laurent Viviani, 2010. "Developpement Durable, Flux Comptables Et Evaluation D'Entreprise," Post-Print hal-00479524, HAL.
  120. Shuhua Chang & Xinyu Wang, 2015. "Modelling and Computation in the Valuation of Carbon Derivatives with Stochastic Convenience Yields," PLOS ONE, Public Library of Science, vol. 10(5), pages 1-35, May.
  121. Zheng, Yan & Yin, Hua & Zhou, Min & Liu, Wenhua & Wen, Fenghua, 2021. "Impacts of oil shocks on the EU carbon emissions allowances under different market conditions," Energy Economics, Elsevier, vol. 104(C).
  122. Tan, Xueping & Sirichand, Kavita & Vivian, Andrew & Wang, Xinyu, 2020. "How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics," Energy Economics, Elsevier, vol. 90(C).
  123. 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.
  124. Stefan Trück & Wolfgang Härdle & Rafal Weron, 2012. "The relationship between spot and futures CO2 emission allowance prices in the EU-ETS," HSC Research Reports HSC/12/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  125. Andreas Welling, 2017. "Green Finance: Recent developments, characteristics and important actors," FEMM Working Papers 170002, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
  126. Kozarski, R., 2013. "Pricing and hedging in the VIX derivative market," Other publications TiSEM 221fefe0-241e-4914-b6bd-c, Tilburg University, School of Economics and Management.
  127. Daskalakis, George & Markellos, Raphael N., 2009. "Are electricity risk premia affected by emission allowance prices? Evidence from the EEX, Nord Pool and Powernext," Energy Policy, Elsevier, vol. 37(7), pages 2594-2604, July.
  128. Marius-Cristian Frunza & Dominique Guegan, 2010. "Derivative Pricing and Hedging on Carbon Market," Post-Print halshs-00461474, HAL.
  129. Julien Chevallier & Stéphane Goutte, 2014. "The goodness-of-fit of the fuel-switching price using the mean-reverting Lévy jump process," Working Papers 2014-285, Department of Research, Ipag Business School.
  130. Shuhua Chang & Suresh P. Sethi & Xinyu Wang, 2018. "Optimal Abatement and Emission Permit Trading Policies in a Dynamic Transboundary Pollution Game," Dynamic Games and Applications, Springer, vol. 8(3), pages 542-572, September.
  131. 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.
  132. Leon Vinokur, 2009. "Disposition in the Carbon Market and Institutional Constraints," Working Papers 652, Queen Mary University of London, School of Economics and Finance.
  133. Huang, Zhehao & Dong, Hao & Jia, Shuaishuai, 2022. "Equilibrium pricing for carbon emission in response to the target of carbon emission peaking," Energy Economics, Elsevier, vol. 112(C).
  134. Sharon S. Yang & Jr-Wei Huang & Chuang-Chang Chang, 2016. "Detecting and modelling the jump risk of CO 2 emission allowances and their impact on the valuation of option on futures contracts," Quantitative Finance, Taylor & Francis Journals, vol. 16(5), pages 749-762, May.
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