Modeling CO2 Emission Allowance Prices and Derivatives: Evidence from the European Trading Scheme
By George Daskalakis, Dimitris Psychoyios, Raphael N. Markellos. 2009
501 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/179268860efae6fbe79e19c3f7c1260db6aeebc5
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In Economics and Econometrics
- Duc Khuong Nguyen
- Shawkat Hammoudeh
- Yue‐Jun Zhang
- H. Cho
- Suk Joon Byun
- R. Cong
- Yi-Ming Wei
- B. Hintermann
In Finance
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Citations in the corpus
- An emerging equilibrium in the EU emissions trading scheme (2011, unknown): “Recent studies include Paolella and Taschini (2008), Daskalakis et al. (2009) and Benz and Trück (2009) examine the time series properties of a range of different EU ETS instruments.”
- An overview of current research on EU ETS: Evidence from its operating mechanism and economic effect (2010, background): “[28] studied the three main carbon markets for emission allowances within the EU ETS, i.”
- Carbon trading thickness and market efficiency (2010, background): “process is subject to the choice of the embedding dimension m and the bound ε.(9) If we select a value for ε that is too small, the null hypothesis of a random i.”
- The marginal impacts of energy prices on carbon price variations: Evidence from a quantile-on-quantile approach (2021, unknown): “To investigate the dynamics of carbon prices in the first phase, with an argument regarding the carbon abatement cost, extant literature devotes attention to the determination of carbon prices driven by energy prices (see, e.g., Mansanet-Bataller et al., 2007; Alberola et al., 2008; Hintermann, 2010;”
- The Endogenous Price Dynamics of Emission Allowances and an Application to CO2 Option Pricing (2012, unknown): “In Daskalakis et al. (2009), several different diffusion and jump–diffusion processes were fitted to the European carbon dioxide (CO2) futures time series.”
- A model of carbon price interactions with macroeconomic and energy dynamics (2011, background): “progressively amended by the European Commission (see Ellerman et al. (2010)), especially with regard to allocation in Phase III.”