This paper investigates the determinants of stock returns in the French stock market in an Arbitrage Pricing Theory framework. The analysis is conducted with monthly data from the French stock market over the period 1990-2001. Financial theory predicts that a set of macroeconomic variables...

This paper investigates the determinants of stock returns in the French stock market in an Arbitrage Pricing Theory framework. The analysis is conducted with monthly data from the French stock market over the period 1990-2001. Financial theory predicts that a set of macroeconomic variables...

Kutlu (2009, “Price discrimination in Stackelberg competitionâ€, Journal of Industrial Economics) shows that the Stackelberg leader sells to the highest value consumers and only the Stackelberg follower practises price discrimination. We show that this result is not robust if the...

In this article, we extend the conditional ICAPM of De Santis and Gérard (1997,1998) using an asymmetric multivariate GARCH specification. This approach, with double asymmetric effects, allows to the risk premia, betas and correlations to vary through time. Then, we investigate ex ante benefits...

In this article, we extend the conditional ICAPM of De Santis and Gérard (1997,1998) using an asymmetric multivariate GARCH specification. This approach, with double asymmetric effects, allows to the risk premia, betas and correlations to vary through time. Then, we investigate ex ante benefits...

In this paper, we review the extant mathematical and environmental economics literatures on the stochastic properties of CO2 emission allowance futures prices. We explain the main findings arising from this literature from both continuous- and jump-diffusion models. Based on the Activity...

Through analysis of the European Union Emissions Trading Scheme (EU ETS) and the Clean Development Mechanism (CDM), this book demonstrates how to use a variety of econometric techniques to analyze the evolving and expanding carbon markets sphere, techniques that can be extrapolated to the...

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 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...

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...