Caporin, Massimiliano; Fontini, Fulvio; Segato, Samuele - In: International Journal of Financial Studies 9 (2021) 4, pp. 1-15
, through a VECM model, distinguishing between peak and off-peak prices. The analysis is carried out for the third phase of the … EU-ETS, which started in 2013, and for two-year rolling windows that account for changes over time of the pass-through … rates. It is shown that the natural gas price has a high pass-through rate of roughly 70%, which is increasing over time. On …