In this paper, we introduce the concept of conjectural variations across sectors called "external conjectural variations" in a pure exchange economy. Three results are obtained. First, the symmetric oligopoly equilibrium coincides with the Cournot equilibrium when the conjectural variations are...

In this note, we introduce conjectural variations in a simple general oligopoly equilibrium model of a pure exchange economy. Three results are obtained. First, the price and utility levels generally increase with the value taken by conjectures. Second, when the conjectural variation takes its...

In this note, we introduce conjectural variations in a simple general oligopoly equilibrium model of a pure exchange economy. Three results are obtained. First, the price and utility levels generally increase with the value taken by conjectures. Second, when the conjectural variation takes its...

In this paper, we introduce the concept of conjectural variations across sectors called "external conjectural variations" in a pure exchange economy. Three results are obtained. First, the symmetric oligopoly equilibrium coincides with the Cournot equilibrium when the conjectural variations are...

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...

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...