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Gronwald, Marc; Hintermann, Beat - 2016

Because of a link between the EU ETS and the Kyoto Flexible Mechanisms, the emission certificates traded on these markets are in principle interchangeable assets; despite of this, a persistent price difference exists. We explain this price spread using a theoretical model that combines three...

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

Simultaneous supplies of dirty and green fuels with capacity constraint : is there a green paradox?

Gronwald, Marc; Long, Ngo Van; Röpke, Luise - 2013

This paper contributes to the green paradox literature by using a resource extraction framework with heterogeneous energy sources. A key feature of the model is a capacity constrained green backstop resource, which implies the simultaneous use of the expensive backstop resource and the cheaper...

Persistent link: https://www.econbiz.de/10009786209

Explosive temperatures

Gronwald, Marc - 2023

This paper finds that global temperature anomalies are characterised by (temporary) explosiveness, a statistical feature typically found in financial and commodity market data during episodes of extreme price increases. This finding dramatically illustrates the extent temperature changes have...

Persistent link: https://www.econbiz.de/10014382935

Explosive oil prices

Gronwald, Marc - 2013

This paper deals with three aspects of spectacular oil price episodes such as the one witnessed in 2008. First, the concept of temporary explosiveness is proposed as an empirical method for capturing this type of behavior. The application of a recently proposed recursive unit root test shows...

Persistent link: https://www.econbiz.de/10009786017

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

during the period of the financial crisis. In a Value-at-Risk (VaR) analysis, finally, we further illustrate the advantages … confidence levels while other models fail to specify the risk correctly. This analysis shows that ignoring the actual nature of … dependence might lead to an underestimation of the risk for portfolios combining EUAs with commodities or equity investments …

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