An econometric analysis of emission allowance prices
نویسندگان
چکیده
منابع مشابه
An econometric analysis of emission allowance prices
Knowledge of the statistical distribution of the prices of emission allowances, and their forecastability, are crucial in constructing, among other things, purchasing and risk management strategies in the emissions-constrained markets. This paper analyzes the two emission permits markets, CO2 in Europe, and SO2 in the US, and investigates a model for dealing with the unique stylized facts of th...
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T existence of mandatory emission trading schemes in Europe and the United States, and the increased liquidity of trading on futures contracts on CO2 emissions allowances, led naturally to the next step in the development of these markets: These futures contracts are now used as underliers for a vibrant derivative market. In this paper, we give a rigorous analysis of a simple risk-neutral reduc...
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ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2008
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2007.09.024