메뉴 건너뛰기




Volumn 111, Issue , 2013, Pages 701-709

EU ETS market interactions: The case for multiple hypothesis testing approaches

Author keywords

CERs; EU Emissions Trading Scheme; EUAs; Granger causality; Multiple hypothesis testing; Vector autoregression

Indexed keywords

COMMERCE; EMISSION CONTROL; GREENHOUSE GASES; INTERNATIONAL LAW; REGRESSION ANALYSIS; STATISTICAL TESTS;

EID: 84879292203     PISSN: 03062619     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.apenergy.2013.05.032     Document Type: Article
Times cited : (17)

References (39)
  • 1
    • 84879304282 scopus 로고    scopus 로고
    • State and trends of the carbon markets 2012. World bank report
    • Kossoy A, Guigon, P. State and trends of the carbon markets 2012. World bank report; 2012.
    • (2012)
    • Kossoy, A.1    Guigon, P.2
  • 2
    • 84871211608 scopus 로고    scopus 로고
    • Hypothesis testing in econometrics
    • Working paper
    • Romano JP, Shaikh AM, Wolf M. Hypothesis testing in econometrics. Working paper; 2009.
    • (2009)
    • Romano, J.P.1    Shaikh, A.M.2    Wolf, M.3
  • 3
    • 0000028873 scopus 로고    scopus 로고
    • A reality check for data snooping
    • White H. A reality check for data snooping. Econometrica 2000, 68:1097-1126.
    • (2000) Econometrica , vol.68 , pp. 1097-1126
    • White, H.1
  • 4
    • 27544466375 scopus 로고    scopus 로고
    • A test for superior predictive ability
    • Hansen P.R. A test for superior predictive ability. J Business Econom Stat 2005, 23:365-380.
    • (2005) J Business Econom Stat , vol.23 , pp. 365-380
    • Hansen, P.R.1
  • 5
    • 39749098114 scopus 로고    scopus 로고
    • Control of generalized error rates in multiple testing
    • Romano J.P., Wolf M. Control of generalized error rates in multiple testing. Ann Stat 2007, 35:1378-1408.
    • (2007) Ann Stat , vol.35 , pp. 1378-1408
    • Romano, J.P.1    Wolf, M.2
  • 6
    • 73949135000 scopus 로고    scopus 로고
    • Balanced control of generalized error rates
    • Romano J.P., Wolf M. Balanced control of generalized error rates. Ann Stat 2010, 38:598-633.
    • (2010) Ann Stat , vol.38 , pp. 598-633
    • Romano, J.P.1    Wolf, M.2
  • 7
    • 0005865794 scopus 로고    scopus 로고
    • Data-snooping, technical trading rule performance, and the bootstrap
    • Sullivan R., Timmermann A., White H. Data-snooping, technical trading rule performance, and the bootstrap. J Finan 1999, 54:1647-1691.
    • (1999) J Finan , vol.54 , pp. 1647-1691
    • Sullivan, R.1    Timmermann, A.2    White, H.3
  • 8
    • 84879293759 scopus 로고    scopus 로고
    • Re-examining the profitability of technical analysis with White's reality check. Working paper
    • Hsu PH, Kuan CM. Re-examining the profitability of technical analysis with White's reality check. Working paper; 2005.
    • (2005)
    • Hsu, P.H.1    Kuan, C.M.2
  • 9
    • 33845773497 scopus 로고    scopus 로고
    • Technical trading-rule profitability, data snooping, and reality check: evidence from the foreign exchange market
    • Qui M., Wu Y. Technical trading-rule profitability, data snooping, and reality check: evidence from the foreign exchange market. J Money, Credit, Banking 2006, 38:2135-2158.
    • (2006) J Money, Credit, Banking , vol.38 , pp. 2135-2158
    • Qui, M.1    Wu, Y.2
  • 10
    • 34547885376 scopus 로고    scopus 로고
    • What do we know about the profitability of technical analysis?
    • Park C.H., Irwin S.H. What do we know about the profitability of technical analysis?. J Econom Surveys 2007, 21:786-826.
    • (2007) J Econom Surveys , vol.21 , pp. 786-826
    • Park, C.H.1    Irwin, S.H.2
  • 11
    • 84871246038 scopus 로고    scopus 로고
    • Can commodity futures be profitably traded with quantitative market timing strategies?
    • Working paper
    • Marshall BR, Cahan RH, Cahan JM. Can commodity futures be profitably traded with quantitative market timing strategies? Working paper; 2008.
    • (2008)
    • Marshall, B.R.1    Cahan, R.H.2    Cahan, J.M.3
  • 12
    • 84871233035 scopus 로고    scopus 로고
    • Quantitative spread trading in the crude oil and products markets
    • Cummins M., Bucca A. Quantitative spread trading in the crude oil and products markets. Quant Finan 2012, 12(12):1857-1875.
    • (2012) Quant Finan , vol.12 , Issue.12 , pp. 1857-1875
    • Cummins, M.1    Bucca, A.2
  • 13
    • 28244473765 scopus 로고    scopus 로고
    • Analysis of national allocation plans for the EU ETS
    • IVL Swedish environmental research institute report
    • Zetterberg L, Nilsson K, Ahman M, Kumlin A, Birgersdotter L. Analysis of national allocation plans for the EU ETS. IVL Swedish environmental research institute report; 2004.
    • (2004)
    • Zetterberg, L.1    Nilsson, K.2    Ahman, M.3    Kumlin, A.4    Birgersdotter, L.5
  • 14
    • 34249329242 scopus 로고    scopus 로고
    • Emissions trading: Lessons learnt from the 1st phase of the EU ETS and prospects for the 2nd phase
    • Betz R., Sato M. Emissions trading: Lessons learnt from the 1st phase of the EU ETS and prospects for the 2nd phase. Climate Policy 2006, 6:351-359.
    • (2006) Climate Policy , vol.6 , pp. 351-359
    • Betz, R.1    Sato, M.2
  • 15
    • 33747748466 scopus 로고    scopus 로고
    • Allocation and competitiveness in the EU emissions trading scheme: policy overview
    • Grubb M., Neuhoff K. Allocation and competitiveness in the EU emissions trading scheme: policy overview. Climate Policy 2006, 6(1):7-30.
    • (2006) Climate Policy , vol.6 , Issue.1 , pp. 7-30
    • Grubb, M.1    Neuhoff, K.2
  • 16
  • 17
    • 33747749122 scopus 로고    scopus 로고
    • Allocation, incentives and distortions: the impact of EU ETS emissions allowance allocations to the electricity sector
    • Neuhoff K., Keats K., Sato M. Allocation, incentives and distortions: the impact of EU ETS emissions allowance allocations to the electricity sector. Climate Policy 2006, 6:73-92.
    • (2006) Climate Policy , vol.6 , pp. 73-92
    • Neuhoff, K.1    Keats, K.2    Sato, M.3
  • 18
    • 38049181678 scopus 로고    scopus 로고
    • Market and price developments in the European Union emissions trading scheme
    • Convery F., Redmond L. Market and price developments in the European Union emissions trading scheme. Rev Environ Econom Policy 2007, 1:88-111.
    • (2007) Rev Environ Econom Policy , vol.1 , pp. 88-111
    • Convery, F.1    Redmond, L.2
  • 19
    • 52549132689 scopus 로고    scopus 로고
    • Over-allocation or abatement? A preliminary analysis of the EU ETS based on the 2005-2006 emissions data
    • Ellerman A., Buchner B. Over-allocation or abatement? A preliminary analysis of the EU ETS based on the 2005-2006 emissions data. Environ Resour Econom 2008, 41:267-287.
    • (2008) Environ Resour Econom , vol.41 , pp. 267-287
    • Ellerman, A.1    Buchner, B.2
  • 20
    • 78149358310 scopus 로고    scopus 로고
    • Carbon price volatility: evidence from EU ETS
    • Feng Z.H., Zou L.L., Wei Y.M. Carbon price volatility: evidence from EU ETS. Appl Energy 2011, 88(3):590-598.
    • (2011) Appl Energy , vol.88 , Issue.3 , pp. 590-598
    • Feng, Z.H.1    Zou, L.L.2    Wei, Y.M.3
  • 21
    • 84864795234 scopus 로고    scopus 로고
    • Estimating risk for the carbon market via extreme value theory: an empirical analysis of the EU ETS
    • Feng Z.H., Wei Y.M., Wang K. Estimating risk for the carbon market via extreme value theory: an empirical analysis of the EU ETS. Appl Energy 2012, 99:97-108.
    • (2012) Appl Energy , vol.99 , pp. 97-108
    • Feng, Z.H.1    Wei, Y.M.2    Wang, K.3
  • 23
    • 38049150796 scopus 로고    scopus 로고
    • Price drivers and structural breaks in European carbon prices 2005-2007
    • Alberola E., Chevalier J., Cheze B. Price drivers and structural breaks in European carbon prices 2005-2007. Energy Policy 2008, 36:787-797.
    • (2008) Energy Policy , vol.36 , pp. 787-797
    • Alberola, E.1    Chevalier, J.2    Cheze, B.3
  • 26
    • 77950857971 scopus 로고    scopus 로고
    • An overview of current research on EU ETS: evidence from its operating mechanism and economic effect
    • Zhang Y.J., Wei Y.M. An overview of current research on EU ETS: evidence from its operating mechanism and economic effect. Appl Energy 2010, 87(6):1804-1814.
    • (2010) Appl Energy , vol.87 , Issue.6 , pp. 1804-1814
    • Zhang, Y.J.1    Wei, Y.M.2
  • 27
    • 84874291524 scopus 로고    scopus 로고
    • Dynamic linkages among European carbon markets: insights on price transmission
    • Working paper
    • Boutaba M. Dynamic linkages among European carbon markets: insights on price transmission. Working paper; 2008.
    • (2008)
    • Boutaba, M.1
  • 28
    • 84855954628 scopus 로고    scopus 로고
    • Modeling the price spread between the EUA and the CER carbon prices
    • Working paper
    • Nazifi F. Modeling the price spread between the EUA and the CER carbon prices. Working paper; 2010.
    • (2010)
    • Nazifi, F.1
  • 29
    • 77953601215 scopus 로고    scopus 로고
    • EUAs and CERs: vector autoregression, impulse response function and cointegration analysis
    • Chevallier J. EUAs and CERs: vector autoregression, impulse response function and cointegration analysis. Econom Bullet 2010, 30:558-576.
    • (2010) Econom Bullet , vol.30 , pp. 558-576
    • Chevallier, J.1
  • 30
    • 77953685575 scopus 로고    scopus 로고
    • 2, electricity, and other energy variables during phases I and II of the EU ETS
    • 2, electricity, and other energy variables during phases I and II of the EU ETS. Energy Policy 2010, 38:3329-3341.
    • (2010) Energy Policy , vol.38 , pp. 3329-3341
    • Keppler, J.1    Mansanet-Bataller, M.2
  • 31
    • 85021216405 scopus 로고    scopus 로고
    • Rolling over EUAs and CERs. Working paper
    • Carchano O, Medina V, Pardo A. Rolling over EUAs and CERs. Working paper; 2012.
    • (2012)
    • Carchano, O.1    Medina, V.2    Pardo, A.3
  • 32
    • 79952068958 scopus 로고    scopus 로고
    • EUA and sCER Phase II price drivers: unveiling the reasons for the existence of the EUA-sCER spread
    • Mansanet M., Chevallier J., Hervé M., Alberola E. EUA and sCER Phase II price drivers: unveiling the reasons for the existence of the EUA-sCER spread. Energy Policy 2011, 39:1056-1069.
    • (2011) Energy Policy , vol.39 , pp. 1056-1069
    • Mansanet, M.1    Chevallier, J.2    Hervé, M.3    Alberola, E.4
  • 33
    • 80755172222 scopus 로고    scopus 로고
    • A model of carbon price interactions with macroeconomic and energy dynamics
    • Chevallier J. A model of carbon price interactions with macroeconomic and energy dynamics. Energy Econom 2011, 33(6):1295-1312.
    • (2011) Energy Econom , vol.33 , Issue.6 , pp. 1295-1312
    • Chevallier, J.1
  • 35
    • 67349218423 scopus 로고    scopus 로고
    • Carbon futures and macroeconomic risk factors: a view from the EU ETS
    • Chevallier J. Carbon futures and macroeconomic risk factors: a view from the EU ETS. Energy Econ 2009, 31(4):614-625.
    • (2009) Energy Econ , vol.31 , Issue.4 , pp. 614-625
    • Chevallier, J.1
  • 36
    • 64049086966 scopus 로고    scopus 로고
    • 2 emission allowance prices and derivatives: evidence from the European trading scheme
    • 2 emission allowance prices and derivatives: evidence from the European trading scheme. J Bank Finan 2009, 33(7):1230-1241.
    • (2009) J Bank Finan , vol.33 , Issue.7 , pp. 1230-1241
    • Daskalakis, G.1    Psychoyios, D.2    Markellos, R.N.3
  • 37
    • 0002294347 scopus 로고
    • A simple sequentially rejective multiple test procedure
    • Holm S. A simple sequentially rejective multiple test procedure. Scand J Stat 1979, 6:65-70.
    • (1979) Scand J Stat , vol.6 , pp. 65-70
    • Holm, S.1
  • 38
    • 23744439164 scopus 로고    scopus 로고
    • Generalizations of the familywise error rate
    • Lehmann E.L., Romano J.P. Generalizations of the familywise error rate. Ann Stat 2005, 33(3):1138-1154.
    • (2005) Ann Stat , vol.33 , Issue.3 , pp. 1138-1154
    • Lehmann, E.L.1    Romano, J.P.2
  • 39
    • 39749172038 scopus 로고    scopus 로고
    • On stepdown control of the false discovery proportion
    • In Rojo J, editor. 2nd Lehmann symposium - optimality IMS lecture notes-monograph series
    • Romano JP, Shaikh AM. On stepdown control of the false discovery proportion. In Rojo J, editor. 2nd Lehmann symposium - optimality IMS lecture notes-monograph series, 2006. p. 33-50.
    • (2006) , pp. 33-50
    • Romano, J.P.1    Shaikh, A.M.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.