The European Union Emissions Trading Scheme (EU ETS) has imposed a price on the allowances for CO2 emissions of electricity companies. Integrating this allowance price into the price of electricity earns a rent for companies who have received these allowances for free. During Phase I,...

This paper develops two nonlinear cointegration models - a VECM with structural shift and a threshold cointegration model - applied to carbon spot and futures prices. The results extend the previous findings by Chevallier (2010), who studied this topic with a linear VECM. First, in the VECM with...

This paper analyzes jointly the time series of European Union Allowances (EUAs) and Certified Emissions Reductions (CERs) in a Markov regime-switching environment. The purpose consists in capturing the interactions between the two time series - which have been highlighted in previous literature...

EUAs are European Union Allowances traded on the EU Emissions Trading Scheme (EU ETS), while Certified Emissions Reductions (CERs) arise from the Clean Development Mechanism under the Kyoto Protocol. These emissions assets attract an increasing attention among brokers, investors and operators on...

This article develops a forecasting exercise of the volatility of EUA spot, EUA futures, and CER futures carbon prices (modeled after an AR(1)-GARCH(1,1)) using two dynamic factors as exogenous regressors that were extracted from a Factor Augmented VAR model (Bernanke et al. (2005)). The dataset...

This article documents the conditional and unconditional distributions of the realized volatility for the 2008 futures contract in the European climate exchange (ECX), which is valid under the EU emissions trading scheme (EU ETS). Realized volatility measures from naive, kernel-based and...

L’objectif de cette communication est de montrer dans quelle mesure la prise en compte de la localisation des réseaux concurrents peut être primordiale pour une entreprise à l’heure de construire spatialement son propre réseau de distribution. La localisation est ici appréhendée comme...

L’objectif de cette communication est d’étudier la localisation des unités des réseaux de distribution. Le choix d’une zone d’implantation dépendant fortement de la localisation des concurrents, la localisation est ici appréhendée comme un mouvement concurrentiel. Pour chacune de...

La stratégie de localisation des entreprises commerciales vis-à-vis des concurrents est théoriquement simple : afin de ne pas accroître l’intensité concurrentielle, il est nécessaire de se différencier. La différenciation peut passer par les produits ou services. Dans ce cas, la...