Dynamic behavior of CO2 spot prices

By J. Seifert, Marliese Uhrig-Homburg, Michael Wagner. 2008

354 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/5756728941372536c0298716e048317c55be92a5

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Citations in the corpus

What explains the short-term dynamics of the prices of CO2 emissions? (2014, background): “The few ex- ceptions include Daskalakis et al. (2005), Paolella and Taschini (2006), Uhrig-Homburg 5 and Wagner (2006), and Seifert et al. (2008).”
Understanding volatility dynamics in the EU-ETS market (2009, methodology): “…Fezzi, 2007, Rickels et al., 2007, Mansanet-Bataller et al., 2007, and Alberola et al., 2008), others nd no such evidence and favour a pure time-series approach (see Milunovich and Joyeux (2007), Paolella and Taschini, 2008, Benz and Trück, 2008, Chesney and Taschini, 2008, Seifert et al., 2008).”
The marginal impacts of energy prices on carbon price variations: Evidence from a quantile-on-quantile approach (2021, neutral): “…prices (see, e.g., Mansanet-Bataller et al., 2007; Alberola et al., 2008; Hintermann, 2010; Alberola et al., 2009), or alternatively, the prediction of future movements of carbon prices (see, e.g., Benz and Tr¨uck, 2009; Daskalakis et al., 2009; Paolella and Taschini, 2008; Seifert et al., 2008).”
Energy prices and CO2 emission allowance prices: A quantile regression approach (2014, methodology): “Seifert et al. (2008) argue that the CO2 prices exhibit a time- and price-dependent volatility structure.”
The Endogenous Price Dynamics of Emission Allowances and an Application to CO2 Option Pricing (2012, positive): “…costs across the different pollution emitters and to an emergence of an alignment of companies’ interests with those of a representative agent (as in Seifert et al. (2008)), or with a social planner (as in Fehr and Hinz (2006)).7 Employing the existence of a single representative firm in the…”
Allowance Price Drivers in the First Phase of the EU ETS (2010, background): “A number of studies model the EUA price and its volatility mainly for risk management and forecasting purposes [6, 20, 21, 22].”
Risk Spillovers across the Energy and Carbon Markets and Hedging Strategies for Carbon Risk (2016, background): “In addition to the above studies that focus on the drivers of carbon allowances prices, the existing literature also examines two other major issues: i) the stochastic properties, market efficiency, price discovery, and spot-futures price relationship in the carbon spot and futures markets (e.g., Da”
Carbon trading thickness and market efficiency (2010, background): “[25] Seifert, J.”
Price and Market Behavior in Phase II of the EU ETS: A Review of the Literature (2014, background): “…important implications arising from such factors as banking and borrowing rules (Rubin 1996, Schennach 2000), imperfect information or transaction costs (Hahn 1989, Lewis and Sappington 1995), market power (Montero, 2009), and uncertainty about future emissions and prices (Seifert et al. 2008).”