Chevallier, Julien - In: Economic Modelling 31 (2013) C, pp. 598-605
‘variance risk-premia’ (Carr and Wu, 2009; Bollerslev et al., 2009; Trolle and Schwartz, 2010), during 2008–2011. We find that … variance risk-premia are equal to a daily sample average of 0.79 for European Union Allowances and 0.18 for Certified Emissions … in CO2 markets that asks for a highly risk premium. Further analysis shows that variance risk-premia are time …