The European Union Emissions Trading Scheme (EU ETS) has imposed a price on the allowances for CO2 emissions of electricity companies. Integrating this allowance price into the price of electricity earns a rent for companies who have received these allowances for free. During Phase I,...

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 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 plupart des recherches antérieures se sont concentrées à mesurer et vérifier l’importance du concept d’alignement à un instant t (par le biais d’échelles de mesure suivant une approche quantitative). Notre étude des dynamiques de l’alignement vise à assurer une meilleure...

Cette recherche a pour but de démontrer que l’alignement stratégique des TIC, avec la stratégie (précisément stratégie de partenariat ou pratique de collaboration) et la structure organisationnelle d’une PME, peut avoir une influence déterminante sur la performance de la firme. A...

The purpose of this research is to investigate whether the alignment of IT with the strategy (particularly the partnership strategy or cooperation practice) and organizational structure of an SME could have a decisive influence on its performance. We constructed a model and tested it empirically...