An econometric analysis of emission allowance prices

By Marc S. Paolella, Luca Taschini. 2008

312 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Global and Planetary Change, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/aa07d858055a45750ab17db140fbede297862825

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Citations in the corpus

Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency (2012, unknown): “The recent papers by Paolella and Taschini (2008), Benz and Trueck 1Note that the national totals in Phase III will decrease linearly from the average national quantity of allowances in Phase II.”
Understanding volatility dynamics in the EU-ETS market (2009, background): “…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 Endogenous Price Dynamics of Emission Allowances and an Application to CO2 Option Pricing (2012, unknown): “In contrast, Paolella and Taschini (2008) advocate the use of a new GARCH-type structure for the analysis of inherent heteroskedastic dynamics in the returns of SO2 in the United States and of CO2 emission permits in the European Emission Trading Scheme (EU ETS).”
Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals (2013, background): “Furthermore, Paolella and Taschini (2008) and Chevallier (2009) prove, that EUA return series based on daily data show characteristics such as volatility clustering and fat tails.”
Price and Market Behavior in Phase II of the EU ETS: A Review of the Literature (2014, background): “For example, Paolella and Taschini (2008) were the first to show that GARCH models are suitable for accommodating heteroscedasticity and unconditional tail distribution in allowance price series.”
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).”
Carbon trading thickness and market efficiency (2010, background): “Carbon trading thickness and market efficiency Alberto Montagnoli, Frans P. de Vries ⁎”
Forecasting carbon futures volatility using GARCH models with energy volatilities (2013, methodology): “Paolella and Taschini (2008) and Benz and Trück (2009) use an AR(1)-GARCH(1,1) model to fit EUA spot return dynamics.”
Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis (2011, background): “While Paolella and Taschini (2008), Daskalakis et al. (2009) or Chevallier and Sevi (2011) and Rittler (2011) investigate individual volatility dynamics in the futures markets, other studies explicitly assess the relationship of the joint dynamics of spot and futures prices.”
An emerging equilibrium in the EU emissions trading scheme (2011, unknown): “Our results are consistent with previouswork in thatwefind considerable evidence of uncertainty for EU allowances and the range of determinants (see, Paolella and Taschini (2008) and Benz and Trück (2009)).”
Forecasting carbon price using empirical mode decomposition and evolutionary least squares support vector regression (2017, methodology): “Abbreviations: EMD, empirical mode decomposition; LSSVR, least squares support vector regression; IMF, 27 intrinsic mode function; PSO, particle swarm optimization; EU ETS, European Union Emissions Trading System; 28 GARCH, generalized autoregressive conditional heteroscedasticity; ANN, artificial n”
The marginal impacts of energy prices on carbon price variations: Evidence from a quantile-on-quantile approach (2021, unknown): “…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): “Previous works that mainly use univariate and multivariate linear model have strongly been challenged by the plausibility of nonlinear dynamics for the CO2 prices (e.g., Daskalakis et al., 2005; Paolella and Taschini, 2008; Seifert et al., 2008; Benz and Trück, 2009).”