急求sciencedirect上一篇文献“Modeling the price dynamics of CO2 ……”

Modeling the price dynamics of CO2 emission allowances




References and further reading may be available for this article. To view references and further reading you must purchase this article.


Eva Benza, and Stefan Trückb, ,

aBonn Graduate School of Economics, Germany
bMacquarie University Sydney, Australia


Received 22 August 2006;  
revised 10 July 2008;  
accepted 10 July 2008.  
Available online 16 July 2008.



AbstractIn this paper we analyze the short-term spot price behavior of carbon dioxide (CO2) emission allowances of the new EU-wide CO2 emissions trading system (EU ETS). After reviewing the stylized facts of this new class of assets we investigate several approaches for modeling the returns of emission allowances. Due to different phases of price and volatility behavior in the returns, we suggest the use of Markov switching and AR–GARCH models for stochastic modeling. We examine the approaches by conducting an in-sample and out-of-sample forecasting analysis and by comparing the results to alternative approaches. Our findings strongly support the adequacy of the models capturing characteristics like skewness, excess kurtosis and in particular different phases of volatility behavior in the returns.


Keywords: CO2 emission allowances; Emissions trading; Spot price modeling; Heteroscedasticity; Regime-switching models; GARCH models

Modeling the price dynamics of CO2 emission allowances.pdf (1.13 MB, 需要: 1 个论坛币)

2011-1-3 15:03:25 上传

需要: 1 个论坛币  [购买]

看看是不是

非常感谢！！！速度好快！！！

liugreat 发表于 2011-1-3 23:30
非常感谢！！！速度好快！！！

客气了 互帮互助嘛。。

上传了半天，撞车了。