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Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models
dc.contributor.author | Segnon, Mawuli | |
dc.contributor.author | Lux, Thomas | |
dc.contributor.author | Gupta, Rangan | |
dc.date.accessioned | 2017-04-10T17:55:33Z | |
dc.date.available | 2017-04-10T17:55:33Z | |
dc.date.issued | 2017 | |
dc.identifier.citation | 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. 692-704 | ca_CA |
dc.identifier.issn | 1364-0321 | |
dc.identifier.uri | http://hdl.handle.net/10234/167201 | |
dc.description.abstract | 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. | ca_CA |
dc.description.sponsorShip | Financial support by the European Union's 7th Framework Programme under grant agreement no. 612955 is gratefully acknowledged. We are also grateful for helpful comments by two anonymous reviewers. | ca_CA |
dc.format.extent | 13 p. | ca_CA |
dc.format.mimetype | application/pdf | ca_CA |
dc.language.iso | eng | ca_CA |
dc.publisher | Elsevier | ca_CA |
dc.relation.isPartOf | Renewable and Sustainable Energy Reviews, 2017, vol. 69 | ca_CA |
dc.rights | © 2016 Elsevier Ltd. All rights reserved | ca_CA |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | * |
dc.subject | Carbon dioxide emission allowance prices | ca_CA |
dc.subject | GARCH | ca_CA |
dc.subject | Markov-switching GARCH | ca_CA |
dc.subject | FIGARCH | ca_CA |
dc.subject | Multifractal processes | ca_CA |
dc.subject | SPA test | ca_CA |
dc.subject | Encompassing test | ca_CA |
dc.title | Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models | ca_CA |
dc.type | info:eu-repo/semantics/article | ca_CA |
dc.identifier.doi | http://doi.org/10.1016/j.rser.2016.11.060 | |
dc.rights.accessRights | info:eu-repo/semantics/restrictedAccess | ca_CA |
dc.relation.publisherVersion | http://www.sciencedirect.com/science/article/pii/S1364032116308334 | ca_CA |
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