Modeling the Price Dynamics of Co2 Emission Allowances

By E. Benz, Stefan Trück. 2009

671 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Global and Planetary Change

View Paper: https://www.semanticscholar.org/paper/e0635a795de223fcb86d78a3cf194db5194e7617

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In Economics and Econometrics

In Global and Planetary Change

Citations in the corpus

Emission trading and carbon market performance in Shenzhen, China (2017, methodology): “The GARCH model was advocated by Benz and Trück [54] and experimented by themselves and other scholars [53, 55, 58], and all of these researchers have reported statistically satisfactory results in capturing the price volatility in the international carbon markets.”
Energy prices and CO2 emission allowance prices: A quantile regression approach (2014, background): “Chevalier (2010a) emphasizes that the CO2 futures prices are relevant for the price discovery in the spot emission allowance market. Chevalier (2010b) finds evidence of a positive time-varying risk premium in the CO2 allowance, which is strictly higher for the post-2012 contracts than for the earlie”
Causalities between CO2, electricity, and other energy variables during phase I and phase II of the EU ETS (2010, background): “Others such as Benz and Truck (2008) modeled CO2 prices.”
Understanding volatility dynamics in the EU-ETS market (2009, methodology): “An alternative approach, based on a two regime Markov switching model, has been recently proposed by Benz and Trück (2009).”
Carbon trading thickness and market efficiency (2010, background): “Benz and Trück (2009) look at the CO2 spot price dynamics and at the volatility of the returns and advocate the implementation of Markov switching and AR-GARCH models.”
Forecasting carbon price using empirical mode decomposition and evolutionary least squares support vector regression (2017, methodology): “Recently, 38 carbon price forecasting has attracted more and more research attentions [2-11].”
What explains the short-term dynamics of the prices of CO2 emissions? (2014, background): “Relying on technical analysis, Daskalakis and Markellos (2008) examine the efficiency of the European markets for the CO2 emission allowances during Phase I. Benz and Strück (2009) concentrate on the out-of-sample forecasting performance of the forecasting models.”