An econometric analysis of emission allowance prices

被引：244

作者：

Paolella, Marc S. ^{[1
,2
]}

Taschini, Luca ^{[1
]}

机构：

[1] Univ Zurich, Swiss Banking Inst, CH-8006 Zurich, Switzerland

[2] Swiss Finance Inst, Zurich, Switzerland

来源：

JOURNAL OF BANKING & FINANCE | 2008年 / 32卷 / 10期

关键词：

Emission allowances; GARCH; Greenhouse gases; Mixture models; Value-at-risk;

D O I：

10.1016/j.jbankfin.2007.09.024

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：2022 / 2032

页数：11

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