Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals

148 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Dynamics of China’s carbon prices in the pilot trading phase (2017, background): “Aatola et al. (2013) document a negative influence of coal prices on the price of carbon, whereas Lutz et al. (2013) find a negative relationship only in certain periods.”
The marginal impacts of energy prices on carbon price variations: Evidence from a quantile-on-quantile approach (2021, unknown): “…price linkage becomes even stronger (Koch, 2014), while the changing nature of the carbon price formation driven by energy prices could be better captured in a highly mature market phase alike in Phase III against that in early phases (Lutz et al., 2013; Montagnoli and De Vries, 2010).”
Causes of the EU ETS price drop: Recession, CDM, renewable policies or a bit of everything? - New evidence (2014, methodology): “…based on Engle (1982), both the dependent variable and the majority of independent variables are homoscedastic during the sample period examined, which is why we do not implement an ARCH parameterization for second moments as in Chevallier (2009), Lutz et al. (2013) or Paolella and Taschini (2008).”
Forecasting carbon prices in the Shenzhen market, China: The role of mixed-frequency factors (2019, background): “[8] indicated that the influence of extreme weather conditions on EUA returns is statistically insignificant.”