Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models
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http://doi.org/10.1016/j.rser.2016.11.060 |
Metadatos
Título
Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility modelsFecha de publicación
2017Editor
ElsevierISSN
1364-0321Cita bibliográfica
SEGNON, Mawuli; LUX, Thomas; GUPTA, Rangan. Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models. Renewable and Sustainable Energy Reviews, 2017, vol. 69, p. 692-704Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
http://www.sciencedirect.com/science/article/pii/S1364032116308334Palabras clave / Materias
Resumen
The launch of the markets for carbon dioxide emission allowances was guided by the aim to use the supposedly efficient price formation mechanism of an organized exchange to optimally allocate a certain quantity of ... [+]
The launch of the markets for carbon dioxide emission allowances was guided by the aim to use the supposedly efficient price formation mechanism of an organized exchange to optimally allocate a certain quantity of emissions among potential polluters. While this introduction of a centralized trading arrangement should have helped to achieve required emission reductions with a minimum of economic losses, from the viewpoint of market participants it has raised concerns about appropriate risk management provisions to cope with the fluctuations of time-varying allowance prices. The present review provides an overview over state-of-the-art models for price volatility expanding the scope from relatively simple GARCH-type models to models with long-term dependence and regime switches including the relatively recent class of so-called multifractal models. We provide a comparative application of these models to carbon dioxide emission allowance prices from the European Union Emission Trading Scheme and evaluate their performance with up-to-date model comparison tests based on out-of-sample forecasts of future volatility and value-at-risk. [-]
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Renewable and Sustainable Energy Reviews, 2017, vol. 69Derechos de acceso
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