Econometric Analysis of Carbon Markets: The European Union Emissions Trading Scheme and the Clean Development Mechanism
Through analysis of the European Union Emissions Trading Scheme (EU ETS) and the Clean Development Mechanism (CDM), this book demonstrates how to use a variety of econometric techniques to analyze the evolving and expanding carbon markets sphere, techniques that can be extrapolated to the worldwide marketplace. It features stylized facts about carbon markets from an economics perspective, as well as covering key aspects of pricing strategies, risk and portfolio management.
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Econometric Analysis of Carbon Markets: The European Union Emissions Trading ...
No preview available - 2014
Adjusted R-squared Alberola asset autocorrelation autoregressive AutoRegressive Conditional Heteroskedasticity Bessembinder carbon futures carbon market carbon price carry cost CER price CER-EUA Spread CO2 emissions CO2 futures CO2 prices coal coefficient cointegration commodity computed Diagnostic tests distribution dummy variables Econ economic ECX December 2008 electricity emissions reduction emissions trading emissions trading scheme energy Estimation results EU27INDPRODRET EUA-CER EUAFUTRET EUAs and CERs European carbon F-Statistic Finance fuel-switching futures contracts futures prices GARCH modeling Granger causality heteroskedasticity industrial production Kurtosis Kyoto Protocol Ljung-Box test logreturns right panel March 09 Markov-switching model estimated natural gas nonlinear null hypothesis p-value parameters Phase portfolio price changes price drivers price series R-squared realized volatility Regime relationship sample Samuelson hypothesis SETAR Skewness Spark Spread spot and futures spot price standard error STAR models statistically significant switch price Table test statistic threshold time-to-maturity transition variable unit root vector