This paper extends Sentana and Wadhwani (SW 1992) model to study the presence of feedback trading in emissions and energy markets and the extent to which such behaviour is linked to the level of arbitrage opportunities. Applying our augmented model to the carbon emission and four major energy...

We premise and model the dynamic interdependence between energy and carbon prices in Phase III of the European Union Emission Trading Scheme (EU ETS) in a heterogeneous impulse-response setting. Our research framework is based on the proposition that energy prices (e.g., oil, natural gas, and...

This paper proposes a Markov regime switching framework for modeling carbon emission (CO2) allowances that combines a regime switching behavior and disequilibrium adjustments in the mean process, along with a state-dependent dynamic volatility process. We find that all regime switching based...

This paper studies the impact of the April allowance submissions mandate under the European Union emission trading scheme (EU ETS) in carbon emission markets. Using intraday order flow data, we test for the cross-market efficiency of spot-futures dynamics and find that the equilibrium level,...

This paper is designed to provide comprehensive details on the carbon markets across the major Asian economies and with specific attention to the Chinese carbon market. We particularly discuss the carbon markets across the major northeast (the People's Republic of China [PRC], Japan, and the...

This paper proposes two dimension-reduction and forecasting quantile methods (i.e., the quantile group lasso and the quantile group SCAD models) to predict carbon futures returns and investigate the predictability of a comprehensive group of factors including market fundamental variables and...