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...

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...

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...

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 article brings new insights on the role played by (implied) volatility on the WTI crude oil price. An increase in the volatility subsequent to an increase in the oil price (i.e. inverse leverage effect) remains the dominant effect as it might reflect the fear of oil consumers to face rising...

This article documents the conditional and unconditional distributions of the realized volatility for the 2008 futures contract in the European climate exchange (ECX), which is valid under the EU emissions trading scheme (EU ETS). Realized volatility measures from naive, kernel-based and...

La littérature sur les processus stratégiques utilise fréquemment la notion de décentralisation. Pourtant, celle-ci n’est pas définie de façon homogène et les processus décentralisés prennent de multiples formes. La décentralisation peut alors être envisagée de manière générique...

Suivant l’évolution des pratiques, la recherche en stratégie adopte de plus en plus souvent une perspective organisationnelle de la formation de la stratégie. De l’hypothèse réductrice d’un dirigeant omniscient et décideur solitaire, la littérature est passée en quelques temps à...

La place des middle managers dans la démarche stratégique a souvent été soulignée par la littérature stratégique (Bower, 1970 ; Burgelman 1983 ; Mintzberg 1994, Laroche 1999). Cependant, rares sont les études ayant tenté d’approfondir les caractéristiques et les déterminants de leur...