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Modeling CO Emission Allowance Derivatives Zhang, Jing Yu ...

Modeling CO Emission Allowance Derivatives Zhang, Jing Yu ...

Modeling CO2 Emission Allowance Derivatives By Zhang, Jing Yu Efficient pricing of carbon derivative product is the core of the EU-ETS system, which plays an important role in keeping stability and developing the carbon financial market. The volatility of the underlying assets is the essential factor, so how to get the features of the volatility effectively becomes a key problem. Although the ...

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Modeling the price dynamics of CO2 emission allowances

Modeling the price dynamics of CO2 emission allowances

Modeling the price dynamics of CO 2 emission allowances Eva Benza, Stefan Trückb,⁎ a Bonn Graduate School of Economics, Germany b Macquarie University Sydney, Australia article info abstract Article history: Received 22 August 2006 Received in revised form 10 July 2008 Accepted 10 July 2008 Available online 16 July 2008 Keywords: CO 2 emission allowances Emissions trading Spot price ...

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Modeling the Price Dynamics of CO2 Emission Allowances

Modeling the Price Dynamics of CO2 Emission Allowances

Modeling the Price Dynamics of CO2 Emission Allowances Eva Benza, Stefan Tru¨ckb aBonn Graduate School of Economics, Germany [email protected] bQueensland University of Technology, Australia [email protected] Abstract In 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 ...

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Modeling Analysis of CO2 Emission Allowance Trading with ...

Modeling Analysis of CO2 Emission Allowance Trading with ...

Modeling Analysis of CO 2Emission Allowance Trading with RGGI and Virginia Dallas Burtraw and Anthony Paul Resources for the Future • Description of RGGI • Description of modeling RGGI and Virginia • What is the effect of capping emissions in Virginia? • What is the effect of Virginia joining RGGI? Topics for the Presentation. RGGI Experience with Allowance Prices 3 O 2. Explanation of ...

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Pricing Derivatives With Modeling CO Emission Allowance ...

Pricing Derivatives With Modeling CO Emission Allowance ...

Pricing Derivatives With Modeling CO2 Emission Allowance Using a Regime Switching Jump Diffusion Model : With Regime-Switching Risk Premium Son-Nan Chena Shih-Kuei Linb Chang-Yi Lic a. Professor of Finance at Shanghai Advanced Institute of Finance, Shanghai Jiatong University, Shanghai, China 200030, and can be reached at +86-21-62933418 (fax), or [email protected] b. Associate Professor ...

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Pricing Derivatives with modeling CO2 Emission Allowance ...

Pricing Derivatives with modeling CO2 Emission Allowance ...

Pricing Derivatives with modeling CO 2 Emission Allowance Using a Regime Switching Jump Diffusion Model: Evidence from the European Trading Scheme Shih-Kuei Lin1 Son-Nan Chen2 Chang-Yi Li3 1 Shih-Kuei Lin is an Associate Professor of Finance at Department of Money and Banking, National Chengchi University, Taipei, Taiwan, and can be reached at +886-2-29398004 (fax), or [email protected] 2 ...

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MODELING PERSISTENCE OF CARBON EMISSION ALLOWANCE PRICES ...

MODELING PERSISTENCE OF CARBON EMISSION ALLOWANCE PRICES ...

Literature review on modeling CO2 emission allowance prices Kyoto Protocol, greenhouse gases and climate change tend to explain in a recent number of studies both modeling and the determinants of CO2 emission allowance prices. Some papers that analyze price drivers of CO2 emission allowance prices are Alberola et al. (2007, 2008a,b), Chevallier (2009), Hintermann (2010), Kim and Koo (2010 ...

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The european union emission trading scheme and energy ...

The european union emission trading scheme and energy ...

allowance price becomes more sensitive to the gas price when the level of CO2 emissions increases. In Chapter 3, we examine interactions between carbon, coal, gas and electricity prices in an empirical study. Among the main results, we find that there is a significant link between carbon and gas prices in the long-run equilibrium. In Chapter 4, we analyze the cross-market price discovery ...

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A LA RECHERCHE DU PRIX DU CARBONE

A LA RECHERCHE DU PRIX DU CARBONE

SYSTEME EUROPEEN D’ECHANGE DE QUOTAS DE CO 2: DES ANALYSES EX ANTE ET EX POST A LA PROJECTION EN 2020 *** IN SEARCH OF THE CARBON PRICE THE EUROPEAN CO 2 EMISSION TRADING SCHEME: FROM EX ANTE AND EX POST ANALYSIS TO THE PROJECTION IN 2020 Thèse pour l’obtention du titre de DOCTEUR EN SCIENCES ECONOMIQUES (Arrêté du 7 août 2006) Présentée et soutenue publiquement par Raphaël ...

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Canada–United States Emissions Cap and Trading Feasibility ...

Canada–United States Emissions Cap and Trading Feasibility ...

plafonnement des émissions et d’échange de droits d’émission au Canada et aux États-Unis. Includes bibliographical references: p. Available also on the Internet. ISBN 0-662-40525-0 Cat. no.: En4-49/2005E 1. Emissions trading–Canada. 2. Emissions trading–United States. 3. Air quality management–Canada. 4. Air quality management–United States. 5. Transboundary pollution–Canada ...

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Les retombées économiques prévues du marché du carbone ...

Les retombées économiques prévues du marché du carbone ...

d’émission (SPEDE) de la Californie et du Québec et comment peut-on mieux comprendre ce dossier complexe? Les SPEDE indépendants de la Califor- nie et le Québec sont entrés en vigueur en janvier 2013 et ont été officiellement liés en avril de cette année. Bien qu’ils émanent principalement de lois adoptées de façon autonome par les gouvernements de l’État et de la province ...

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