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Predicting carbon market risk using information from macroeconomic fundamentals
Jiao, Lei; Liao, Yin; Zhou, Qing - In: Energy economics 73 (2018), pp. 212-227
Persistent link: https://www.econbiz.de/10011972585
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A novel framework for carbon price forecasting with uncertainties
Wang, Minggang; Zhu, Mengrui; Tian, Lixin - In: Energy economics 112 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013350454
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Prognose des CO2-Zertifikatepreisrisikos
Dannenberg, Henry; Ehrenfeld, Wilfried - 2008
Modeling the price risk of CO2 certificates is one important aspect of integral corporate risk management related to … emissions trading. The paper presents a risk model which may be the basis for evaluating the risk of emission certificate prices … expected reversion level and to estimate the parameters of the mean reversion process. -- risk ; carbon dioxide ; emissions …
Persistent link: https://www.econbiz.de/10003747872
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Forecasting the CO2 Certificate Price Risk
Ehrenfeld, Wilfried - 2014
Modeling the price risk of CO2 certificates is one important aspect of integral corporate risk management related to … emissions trading. The paper presents a risk model which may be the basis for evaluating the risk of emission certificate prices …
Persistent link: https://www.econbiz.de/10013069394
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A Novel Framework for Carbon Price Forecasting with Uncertainties
Wang, Minggang; Zhu, Mengrui; Tian, Lixin - 2022
Carbon price prediction is a key issue in the field of carbon market research. However, the existing methods of carbon price forecasting mostly regard carbon price series as a certain time series, but pay less attention to the uncertainty implied by carbon price series. Based on this, this paper...
Persistent link: https://www.econbiz.de/10013294447
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From climate risk to the returns and volatility of energy assets and green bonds : a predictability analysis under various conditions
Bouri, Elie; Rognone, Lavinia; Sokhanvar, Amin; Wang, … - In: Technological forecasting & social change : an … 194 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014475855
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Impact of economic policy uncertainty on the volatility of China's emission trading scheme pilots
Liu, Tao; Guan, Xinyue; Wei, Yigang; Xue, Shan; Xu, Liang - In: Energy economics 121 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014438458
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Does economic policy uncertainty outperform macroeconomic factor and financial market uncertainty in forecasting carbon emission price volatility? : evidence from China
Lu, Hengzhen; Gao, Qiujin; Li, Matthew C. - In: Applied economics 55 (2023) 54, pp. 6427-6443
Persistent link: https://www.econbiz.de/10014381870
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Analysis and forecast of the economic climate and price situation, 2007 - 2008
Lei, Chen; Yunfang, Liang; Qiu, Sheng'e - In: The China economy yearbook : analysis and forecast of … 3 (2009), pp. 49-73
Persistent link: https://www.econbiz.de/10009156200
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Modeling and forecasting carbon dioxide emission allowance spot price volatility : multifractal vs. GARCH-type volatility models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015
absolute error and the value-at-risk). We evaluate the performance of these models via the superior predictive ability test. We …
Persistent link: https://www.econbiz.de/10011296114