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英文文献：Understanding volatility dynamics in the EU-ETS market-理解EU-ETS市场的波动动态
英文文献作者：Maria Eugenia Sanin,Maria Mansanet-Bataller,Francesco Violante
英文文献摘要：
We study the short-term price behavior of Phase 2 EU emission allowances. We model returns and volatility dynamics, and we demonstrate that a standard ARMAX-GARCH framework is inadequate for this modeling and that the gaussianity assumption is rejected due to a number of outliers. To improve the fitness of the model, we combine the underlying price process with an additive stochastic jump process. We improve the model's performance by introducing a time-varying jump probability that is explained by two variables: the daily relative change in the volume of transactions and the European Commission's announcements regarding the supply of permits. We show that (i) sharp increases in volume have led to increased volatility during the April 2005{December 2007period but not for the period beginning in January 2008, and (ii) announcements induce jumps in the process that tend to increase volatility across both periods. Thus, authorities face a trade off between disseminating information effectively and promoting market stability.
我们研究了欧盟第二阶段排放额度的短期价格行为。我们对收益和波动动力学建模，我们证明了一个标准的ARMAX-GARCH框架是不适合这个模型的，而且高斯假设是拒绝由于大量的异常值。为了提高模型的适应度，我们将潜在价格过程与附加的随机跳跃过程相结合。我们通过引入时变跳跃概率来改善模型的性能，跳跃概率由两个变量来解释:交易量的每日相对变化和欧盟委员会关于许可证供应的公告。我们发现(i)交易量的急剧增加导致了2005年4月(2007年12月)期间波动性的增加，而不是2008年1月开始的时期，(ii)公告诱导了这一过程中的跳涨，这往往会增加这两个时期的波动性。因此，当局面临着有效传播信息和促进市场稳定之间的权衡。
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