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Capital market response to emission allowance prices : a multivariate GARCH approach
Venmans, Frank - In: Environmental economics and policy studies 17 (2015) 4, pp. 577-620
This study assesses the impact of European emission allowances (EUA) prices on stock prices of all companies in the StoxxEurope Total Market Index belonging to sectors regulated by the European Union Emission Trading Scheme (EU ETS). The effect of allowance prices on stock prices is found to be...
Persistent link: https://www.econbiz.de/10011348877
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The EU emission trading scheme : aspects of statehood, regulation and accounting
Veith, Stefan - 2010
Persistent link: https://www.econbiz.de/10003976155
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London vs. Leipzig : price discovery of carbon futures during Phase III of the ETS
Stefan, Martin; Wellenreuther, Claudia - In: Economics letters 188 (2020), pp. 1-3
Persistent link: https://www.econbiz.de/10012227862
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The relationship between carbon-intensive fuel and renewable energy stock prices under the emissions trading system
Chun, Dohyun; Cho, Hoon; Kim, Jihun - In: Energy economics 114 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013477462
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Modelling energy markets with extreme spikes
Schmidt, Thorsten - In: Mathematical control theory and finance, (pp. 359-375). 2008
Persistent link: https://www.econbiz.de/10003755895
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Volatility modeling in equity and energy markets with applications to derivative pricing, hedging and risk management
Ignatieva, Ekaterina - 2012
Persistent link: https://www.econbiz.de/10009548356
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Market specific news and its impact on electricity prices : forward premia
Lazarczyk, Ewa - 2013
This paper studies the impact of market specific news on the short-time forward premia on the Scandinavian electricity market. I show that the short time premia between the day-ahead and intra-day electricity prices on the Scandinavian market can be explained by the arrival of news specific to...
Persistent link: https://www.econbiz.de/10009702265
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Price and volatility forecasting in electricity with support vector regression and random forest
Kara, Mahmut; Atici, Kazim Baris; Ulucan, Aydin - In: Applied operations research and financial modelling in …, (pp. 101-124). 2021
Persistent link: https://www.econbiz.de/10012660732
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Information aggregation in emissions markets with abatement
Cantillon, Estelle; Slechten, Aurélie - In: Annals of economics and statistics 132 (2018), pp. 53-79
Persistent link: https://www.econbiz.de/10012249526
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Information aggregation in emissions markets with abatement
Cantillon, Estelle; Slechten, Aurélie - 2018
Persistent link: https://www.econbiz.de/10012064835