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Convolutional neural network forecasting of European Union allowances futures using a novel unconstrained transformation method
Huang, Wenyang; Wang, Huiwen; Qin, Haotong; Wei, Yigang; … - In: Energy economics 110 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013349896
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Variance risk-premia in CO 2 markets
Chevallier, Julien - In: Economic modelling 31 (2013), pp. 598-605
Persistent link: https://www.econbiz.de/10009731478
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Modeling and explaining the dynamics of European Union allowance prices at high-frequency
Conrad, Christian; Rittler, Daniel; Rotfuß, Waldemar - In: Energy economics 34 (2012) 1, pp. 316-326
Persistent link: https://www.econbiz.de/10009618833
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What makes carbon traders cluster their orders?
Palao, Fernando; Pardo, Ángel - In: Energy economics 43 (2014), pp. 158-165
Persistent link: https://www.econbiz.de/10010504830
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Volatility spillover of energy markets into EUA markets under EU ETS : a multi-phase study
Dhamija, Ajay K.; Yadav, Surendra Singh; Jain, Pramod Kumar - In: Environmental economics and policy studies 20 (2018) 3, pp. 561-591
Persistent link: https://www.econbiz.de/10011891290
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Modeling intertemporal trading of emission permits under market power
Koromilas, Panagiotis; Mathioudaki, Angeliki; Dimos, … - In: Environmental and resource economics 84 (2023) 1, pp. 241-278
Persistent link: https://www.econbiz.de/10013483645
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Does carbon price volatility affect European stock market sectors? : a connectedness network analysis
Aslan, Aydin; Posch, Peter N. - In: Finance research letters 50 (2022), pp. 1-7
Persistent link: https://www.econbiz.de/10014245404
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Volatility spillover and dynamic correlation between the carbon market and energy markets
Chen, Yufeng; Qu, Fang; Li, Wenqi; Chen, Minghui - In: Journal of business economics and management 20 (2019) 5, pp. 979-999
This paper studies the volatility spillover and dynamic correlation between EU emission allowance (EUA) prices and … markets. The time-varying conditional correlation between EUA and each of energy prices is analyzed. The dynamic correlation … shows there is a relatively stable, positive correlation between the EUA and Brent oil, natural gas. However, modeling the …
Persistent link: https://www.econbiz.de/10012175985
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Modeling and explaining the dynamics of European Union Allowance prices at high-frequency
Conrad, Christian; Rittler, Daniel; Rotfuß, Waldemar - 2010
In this paper we model the adjustment process of European Union Allowance (EUA) prices to the releases of announcements … the high-frequency EUA price dynamics are very well captured by a fractionally integrated asymmetric power GARCH process …. The decisions of the European Commission on second National Allocation Plans have a strong and immediate impact on EUA …
Persistent link: https://www.econbiz.de/10003949627
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Carbon price analysis using empirical mode decomposition
Zhu, Bangzhu; Wang, Ping; Chevallier, Julien; Wei, Yi-Ming - In: Computational economics 45 (2015) 2, pp. 195-206
Persistent link: https://www.econbiz.de/10011325724