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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | An econometric analysis of emission allowance prices |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Journal of Banking and Finance |
| Publisher | Elsevier |
| Geographical Reach | international |
| ISSN | 0378-4266 |
| Volume | 32 |
| Number | 10 |
| Page Range | 2022 - 2032 |
| Date | 2008 |
| Abstract Text | Knowledge of the statistical distribution of the prices of emission allowances, and their forecastability, are crucial in constructing, among other things, purchasing and risk management strategies in the emissions-constrained markets. This paper analyzes the two emission permits markets, CO2 in Europe, and SO2 in the US, and investigates a model for dealing with the unique stylized facts of this type of data. Its effectiveness in terms of model fit and out-of-sample value-at-risk-forecasting, as compared to models commonly used in risk-forecasting contexts, is demonstrated. |
| Related URLs | |
| Digital Object Identifier | 10.1016/j.jbankfin.2007.09.024 |
| Other Identification Number | merlin-id:515 |
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