At present, it is widely recognized that under the hypothesis of perfect market, a system of emission permits is a flexible instrument to attain an environmental objective at least aggregate cost. Unfortunately, perfect market assumptions rarely hold in practice. Indeed, emission permits markets...

This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also...

The weekly release of the U.S. inventory level by the DOE-EIA is known as the market mover in the U.S. oil futures market and to be a significant piece of information for all world oil markets in which the WTI is a price benchmark. We uncover suspicious trading patterns in the WTI futures...

The recent implementation of the EU Emissions Trading Scheme (EU ETS) in January 2005 created new financial risks for emitting firms. To deal with these risks, options are traded since October 2006. Because the EU ETS is a new market, the relevant underlying model for option pricing is still a...

The recent implementation of the EU Emissions Trading Scheme (EU ETS) in January 2005 created new financial risks for emitting firms. To deal with these risks, options are traded since October 2006. Because the EU ETS is a new market, the relevant underlying model for option pricing is still a...

Recent contributions highlight the importance of intraday jumps in forecasting realized volatility at horizons up to one month. We extend the methodology developed in Maheu and McCurdy (2011) to exploit the information content of intraday data in forecasting the density of returns. Considering...

We empirically reinvestigate the issue of the excess co-movement of commodity prices initially raised in Pindyck and Rotemberg (1990). Excess co-movement appears when commodity prices remain correlated even after adjusting for the impact of fundamentals. We use recent developments in large...

Pricing carbon is a central concern in environmental economics, due to the importance of emissions trading schemes worldwide to regulate pollution. This paper documents the presence of small and large jumps in the stochastic process of the CO2 futures price. The large jumps have a discrete...