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...

Previous literature has studied the empirical characteristics of European Union Allowances (EUAs) and Certified Emissions Reductions (CERs) time series by using vector autoregression, impulse response function, and cointegration analysis (Chevallier (2010)). This paper extends the analysis by...

This article investigates the cointegrating and vector autoregressive relationships in CO2 allowances spot and futures prices, valid for compliance under the EU Emissions Trading Scheme (EU ETS). Our empirical analysis yields to reject a cointegrating relationship between CO2 spot and futures...