Alberola, Emilie; Chevallier, Julien; Chèze, Benoît - Université Paris-Dauphine (Paris IX) - 2008
This article aims at characterizing the daily price fundamentals of European Union Allowances (EUAs) traded since 2005 as part of the Emissions Trading Scheme (ETS). The presence of two structural changes on April 2006 following the disclosure of 2005 verified emissions and on October 2006...