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A convex hull approach to counterfactual analysis of trade openness and growth

Funke, Michael; Gronwald, Marc - 2009

with the literature arguing that greater trade openness would unequivocally lead to higher growth in Africa. -- openness …

Persistent link: https://www.econbiz.de/10003854442

Evaluating emission trading as a policy tool : evidence from conditional jump models

Gronwald, Marc; Ketterer, Janina - 2009

This paper, first, empirically investigates European emission allowance (EUA) prices and, second, evaluates emission trading as a policy measure. Applying combined jump GARCH models yields strong evidence of conditional jump behavior. This implies that EUA prices are subject to unexpected...

Persistent link: https://www.econbiz.de/10003854402

The dependence structure between carbon emission allowances and financial markets : a copula analysis

Gronwald, Marc; Ketterer, Janina; Trück, Stefan - 2011

This paper applies different copulas in order to investigate the complex dependence structure between EU emission …

Persistent link: https://www.econbiz.de/10009011778

What moves the European carbon market? : insights from conditional jump models

Gronwald, Marc; Ketterer, Janina - 2012

This paper is concerned with carbon price volatility and the underlying causes of large price movements in the European emissions trading market. Based on the application of a combined jump-GARCH model the behavior of EUA prices is characterized. The jump-GARCH model explains the unsteady carbon...

Persistent link: https://www.econbiz.de/10009533967

Explaining the EUA-CER spread

Gronwald, Marc; Hintermann, Beat - 2016

Because of a link between the EU ETS and the Kyoto Flexible Mechanisms, the emission certificates traded on these … spread using a theoretical model that combines three features: A binding limit for the use of Kyoto offsets within the EU ETS … informational frictions governing the use of offsets within the EU ETS. …

Persistent link: https://www.econbiz.de/10011436163

How to measure financial market efficiency? : a multifractality-based quantitative approach with an application to the European carbon market

Sattarhoff, Cristina; Gronwald, Marc - 2018

This paper proposes a new measure for the evaluation of financial market efficiency, the so-called intermittency coefficient. This is a multifractality measure that can quantify the deviation from a random walk within the framework of the multifractal random walk model by Bacry et al. (2001b)....

Persistent link: https://www.econbiz.de/10011864306