This paper considers a permit market with both spatial and intertemporal trading. The intertemporal market allows firms to freely borrow or bank permits over a pre-specified period of time. When this period is over, the permit bank has to be balanced, so firms cannot avoid compliance just by...

In international emissions trading schemes such as the Kyoto Protocol and the European Union Emissions Trading Scheme, the sub- optimal negotiation of the cap with respect to total pollution minimization leads us to critically examine the proposition that generous allocation of grandfathered...

In international emissions trading schemes such as the Kyoto Protocol and the European Union Emissions Trading Scheme, the suboptimal negotiation of the cap with respect to total pollution minimization leads us to critically examine the proposition that generous allocation of grandfathered...

This paper considers a permit market with both spatial and intertemporal trading. The intertemporal market allows firms to freely borrow or bank permits over a pre-specified period of time. When this period is over, the permit bank has to be balanced, so firms cannot avoid compliance just by...

In international emissions trading schemes such as the Kyoto Protocol and the European Union Emissions Trading Scheme, the sub- optimal negotiation of the cap with respect to total pollution minimization leads us to critically examine the proposition that generous allocation of grandfathered...

This paper considers a permit market with both spatial and intertemporal trading. The intertemporal market allows firms to freely borrow or bank permits over a pre-specified period of time. When this period is over, the permit bank has to be balanced, so firms cannot avoid compliance just by...

This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also...

This paper analyzes the conditional correlations between the stock market returns of countries that are members of the Gulf Cooperation Council (GCC). The innovative aspects of the paper consist of focusing on three volatility indices: the oil (OVX), gold (GVZ), and S&P500 (VIX) markets...

This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect...

To assess how financial markets and commodities are inter-related, this paper introduces a ‘volatility surprise’ component into the asymmetric DCC with one exogenous variable (ADCCX) framework. We develop an econometric model in which returns and volatility allow to influence pairs of...