کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5090406 1375630 2009 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme
چکیده انگلیسی
This paper studies the three main markets for emission allowances within the European Union Emissions Trading Scheme (EU ETS): Powernext, Nord Pool and European Climate Exchange (ECX). The analysis suggests that the prohibition of banking of emission allowances between distinct phases of the EU ETS has significant implications in terms of futures pricing. Motivated by these findings, we develop an empirically and theoretically valid framework for the pricing and hedging of intra-phase and inter-phase futures and options on futures, respectively.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 33, Issue 7, July 2009, Pages 1230-1241
نویسندگان
, , ,