کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5055047 | 1371481 | 2012 | 9 صفحه PDF | دانلود رایگان |
This paper uses the Vector Autoregressive (VAR) model and the Switching Transition Regression-Exponential GARCH models (STR-EGARCH) to examine the dynamic relationships between the EU Emission Allowances (EUA) spot and futures prices during Phase II. Compared to the majority of previous studies, our empirical approach allows us to simultaneously capture asymmetry and nonlinearity effects in both return and volatility processes of carbon allowance prices. Our main findings show that carbon spot and futures returns are asymmetrically and nonlinearly linked, suggesting the usefulness of nonlinear models in pricing and forecasting carbon allowances prices.
⺠This paper investigates the relationship between spot and futures CO2 price. ⺠Our results indicate that carbon spot and futures returns exhibit nonlinearity. ⺠The information in futures contracts improves the forecast of future spot price.
Journal: Economic Modelling - Volume 29, Issue 3, May 2012, Pages 884-892