메뉴 건너뛰기




Volumn 45, Issue 3, 2013, Pages 1025-1047

Futures price dynamics of CO2 emission allowances

Author keywords

CO2 emission allowances; Cointegration; Futures price dynamics

Indexed keywords

CARBON DIOXIDE; CARBON EMISSION; COINTEGRATION ANALYSIS; EMISSIONS TRADING; EUROPEAN UNION; KYOTO PROTOCOL; PRICE DYNAMICS;

EID: 84888435209     PISSN: 03777332     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00181-012-0645-6     Document Type: Article
Times cited : (21)

References (44)
  • 1
    • 0016355478 scopus 로고
    • A new look at the statistical model identification
    • Akaike H (1974) A new look at the statistical model identification. IEEE T Autom Contr AC 19: 716-723.
    • (1974) IEEE T Autom Contr AC , vol.19 , pp. 716-723
    • Akaike, H.1
  • 2
    • 67349181916 scopus 로고    scopus 로고
    • European carbon prices and banking restrictions: evidence from phase I (2005-2007)
    • Alberola E, Chevallier J (2009) European carbon prices and banking restrictions: evidence from phase I (2005-2007). Energy J 30(3): 51-80.
    • (2009) Energy J , vol.30 , Issue.3 , pp. 51-80
    • Alberola, E.1    Chevallier, J.2
  • 3
    • 38049150796 scopus 로고    scopus 로고
    • Price drivers and structural breaks in european carbon prices 2005-2007
    • Alberola E, Chevallier J, Cheze B (2008) Price drivers and structural breaks in european carbon prices 2005-2007. Energy Policy 36(2): 787-797.
    • (2008) Energy Policy , vol.36 , Issue.2 , pp. 787-797
    • Alberola, E.1    Chevallier, J.2    Cheze, B.3
  • 6
    • 79151486570 scopus 로고    scopus 로고
    • An emerging equilibrium in the EU emissions trading scheme
    • Bredin D, Muckley C (2011) An emerging equilibrium in the EU emissions trading scheme. Energy Econ 33(2): 353-362.
    • (2011) Energy Econ , vol.33 , Issue.2 , pp. 353-362
    • Bredin, D.1    Muckley, C.2
  • 8
    • 77953514773 scopus 로고    scopus 로고
    • 2 allowances spot and futures prices
    • 2 allowances spot and futures prices. Econ Bull 30(2): 1564-1584.
    • (2010) Econ Bull , vol.30 , Issue.2 , pp. 1564-1584
    • Chevallier, J.1
  • 9
    • 57049163168 scopus 로고    scopus 로고
    • Risk aversion and institutional information disclosure on the european carbon market: a case-study of the 2006 compliance event
    • Chevallier J, Ielpo F, Mercier L (2009) Risk aversion and institutional information disclosure on the european carbon market: a case-study of the 2006 compliance event. Energy Policy 37: 15-28.
    • (2009) Energy Policy , vol.37 , pp. 15-28
    • Chevallier, J.1    Ielpo, F.2    Mercier, L.3
  • 10
    • 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 Financ 33(7): 1230-1241.
    • (2009) J Bank Financ , vol.33 , Issue.7 , pp. 1230-1241
    • Daskalakis, G.1    Psychoyios, D.2    Markellos, R.N.3
  • 11
    • 0000013567 scopus 로고
    • Co-integration and error correction: representation, estimation, and testing
    • Engle RF, Granger CWJ (1987) Co-integration and error correction: representation, estimation, and testing. Econometrica 55: 251-276.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 12
    • 84952227394 scopus 로고
    • Testing for common features
    • Engle RF, Kozicki S (1993) Testing for common features. J Bus Econ Stat 11(4): 369-380.
    • (1993) J Bus Econ Stat , vol.11 , Issue.4 , pp. 369-380
    • Engle, R.F.1    Kozicki, S.2
  • 13
    • 77955422012 scopus 로고    scopus 로고
    • Modelling and measuring price discovery in commodity markets
    • Figuerola-Ferreti I, Gonzalo J (2010) Modelling and measuring price discovery in commodity markets. J Econ 158(1): 95-107.
    • (2010) J Econ , vol.158 , Issue.1 , pp. 95-107
    • Figuerola-Ferreti, I.1    Gonzalo, J.2
  • 14
    • 79956345269 scopus 로고    scopus 로고
    • A characterization of vector autoregressive processes with common cyclical features
    • Franchi M, Paruolo P (2011) A characterization of vector autoregressive processes with common cyclical features. J Econ 163(70): 105-117.
    • (2011) J Econ , vol.163 , Issue.70 , pp. 105-117
    • Franchi, M.1    Paruolo, P.2
  • 15
    • 0039789821 scopus 로고
    • The effects of additive outliers on tests for unit roots and cointegration
    • Franses PH, Haldrup N (1994) The effects of additive outliers on tests for unit roots and cointegration. J Bus Econ Stat 12(4): 471-478.
    • (1994) J Bus Econ Stat , vol.12 , Issue.4 , pp. 471-478
    • Franses, P.H.1    Haldrup, N.2
  • 16
    • 84952524237 scopus 로고
    • Estimation of common long-memory components in cointegrated systems
    • Gonzalo J, Granger CWJ (1995) Estimation of common long-memory components in cointegrated systems. J Bus Econ Stat 13(1): 27-35.
    • (1995) J Bus Econ Stat , vol.13 , Issue.1 , pp. 27-35
    • Gonzalo, J.1    Granger, C.W.J.2
  • 17
    • 0008312427 scopus 로고    scopus 로고
    • Residual-based tests for cointegration in models with regime shifts
    • Gregory AW, Hansen BE (1996) Residual-based tests for cointegration in models with regime shifts. J Econ 70(1): 99-126.
    • (1996) J Econ , vol.70 , Issue.1 , pp. 99-126
    • Gregory, A.W.1    Hansen, B.E.2
  • 18
    • 0000343255 scopus 로고    scopus 로고
    • Testing for structural breaks in cointegrated relationships
    • Gregory AW, Nason J, Watt D (1996) Testing for structural breaks in cointegrated relationships. J Econ 71(1-2): 321-341.
    • (1996) J Econ , vol.71 , Issue.1-2 , pp. 321-341
    • Gregory, A.W.1    Nason, J.2    Watt, D.3
  • 20
    • 84993849369 scopus 로고
    • One security, many markets: determining the contributions to price discovery
    • Hasbrouck J (1995) One security, many markets: determining the contributions to price discovery. J Finance 50: 1175-1199.
    • (1995) J Finance , vol.50 , pp. 1175-1199
    • Hasbrouck, J.1
  • 22
    • 84981579311 scopus 로고
    • Maximum likelihood estimation and inference on cointegration-with applications to the demand for money
    • Johansen S, Juselius K (1990) Maximum likelihood estimation and inference on cointegration-with applications to the demand for money. Oxf Bull Econ Stat 52(2): 169-210.
    • (1990) Oxf Bull Econ Stat , vol.52 , Issue.2 , pp. 169-210
    • Johansen, S.1    Juselius, K.2
  • 23
    • 20444410849 scopus 로고    scopus 로고
    • Estimation and inference of impulse responses by local projections
    • Jordà O (2005) Estimation and inference of impulse responses by local projections. Am Econ Rev 95(1): 161-182.
    • (2005) Am Econ Rev , vol.95 , Issue.1 , pp. 161-182
    • Jordà, O.1
  • 24
    • 70349210711 scopus 로고    scopus 로고
    • Simultaneous confidence regions for impulse responses
    • Jordà O (2009) Simultaneous confidence regions for impulse responses. Rev Econ Stat 91(3): 629-647.
    • (2009) Rev Econ Stat , vol.91 , Issue.3 , pp. 629-647
    • Jordà, O.1
  • 25
    • 77953493213 scopus 로고    scopus 로고
    • Testing market efficiency in the EU carbon futures market
    • Joyeux R, Milunovich G (2010) Testing market efficiency in the EU carbon futures market. Appl Financ Econ 20: 803-809.
    • (2010) Appl Financ Econ , vol.20 , pp. 803-809
    • Joyeux, R.1    Milunovich, G.2
  • 27
    • 84855977308 scopus 로고    scopus 로고
    • How reliable are local projection estimators of impulse responses
    • Kilian L, Kim YJ (2011) How reliable are local projection estimators of impulse responses. Rev Econ Stat 93(4): 1460-1466.
    • (2011) Rev Econ Stat , vol.93 , Issue.4 , pp. 1460-1466
    • Kilian, L.1    Kim, Y.J.2
  • 28
    • 19044394762 scopus 로고    scopus 로고
    • Comparison of unit root tests for time series with level shifts
    • Lanne M, Lütkepohl H, Saikkonen P (2002) Comparison of unit root tests for time series with level shifts. J Time Ser Anal 23(6): 667-685.
    • (2002) J Time Ser Anal , vol.23 , Issue.6 , pp. 667-685
    • Lanne, M.1    Lütkepohl, H.2    Saikkonen, P.3
  • 30
    • 0002378331 scopus 로고
    • Critical values for cointegration tests in long-run economic relationships
    • R. F. Engle and C. W. J. Granger (Eds.), Oxford: Oxford University Press
    • MacKinnon JG (1991) Critical values for cointegration tests in long-run economic relationships. In: Engle RF, Granger CWJ (eds) Long-run economic relationships-readings in cointegration. Oxford University Press, Oxford, pp 267-276.
    • (1991) Long-Run Economic Relationships-Readings in Cointegration , pp. 267-276
    • MacKinnon, J.G.1
  • 31
    • 0000706085 scopus 로고
    • A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey WK, West KD (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55: 703-708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 32
    • 84888428831 scopus 로고    scopus 로고
    • Do dynamic linkages exist among European carbon markets?
    • Niblock SJ, Harrison JL (2012) Do dynamic linkages exist among European carbon markets?. IBER 11(1): 33-44.
    • (2012) Iber , vol.11 , Issue.1 , pp. 33-44
    • Niblock, S.J.1    Harrison, J.L.2
  • 33
    • 38149032649 scopus 로고    scopus 로고
    • Discussion paper 2003/35, Department of Economics, University of Insubria
    • Paruolo P (2003) Common dynamics in I(1) VAR systems. Discussion paper 2003/35, Department of Economics, University of Insubria.
    • (2003) Common dynamics in I(1) VAR systems
    • Paruolo, P.1
  • 34
    • 0040409744 scopus 로고    scopus 로고
    • Hedging long-run commitments: exercises in incomplete market pricing
    • Ross SA (1997) Hedging long-run commitments: exercises in incomplete market pricing. Econ Notes Banca Monte 26: 99-132.
    • (1997) Econ Notes Banca Monte , vol.26 , pp. 99-132
    • Ross, S.A.1
  • 35
    • 0040954806 scopus 로고    scopus 로고
    • Testing for the cointegrating rank of a VAR process with structural shifts
    • Saikkonen P, Lütkepohl H (2000) Testing for the cointegrating rank of a VAR process with structural shifts. J Bus Econ Stat 18(4): 451-464.
    • (2000) J Bus Econ Stat , vol.18 , Issue.4 , pp. 451-464
    • Saikkonen, P.1    Lütkepohl, H.2
  • 36
    • 0036004261 scopus 로고    scopus 로고
    • Testing for a unit root in a time series with a level shift at unknown time
    • Saikkonen P, Lütkepohl H (2002) Testing for a unit root in a time series with a level shift at unknown time. Econ Theory 18: 313-348.
    • (2002) Econ Theory , vol.18 , pp. 313-348
    • Saikkonen, P.1    Lütkepohl, H.2
  • 37
    • 56149101430 scopus 로고
    • A method for judging all contrasts in the analysis of variance
    • Scheffé H (1953) A method for judging all contrasts in the analysis of variance. Biometrika 40: 87-104.
    • (1953) Biometrika , vol.40 , pp. 87-104
    • Scheffé, H.1
  • 38
    • 33947683743 scopus 로고    scopus 로고
    • Codependence in cointegrated autoregressive models
    • Schleicher C (2007) Codependence in cointegrated autoregressive models. J Appl Econ 22: 137-.
    • (2007) J Appl Econ , vol.22 , pp. 137-159
    • Schleicher, C.1
  • 39
    • 0000120766 scopus 로고
    • Estimating the dimension of a model
    • Schwarz G (1978) Estimating the dimension of a model. Ann Stat 6: 461-464.
    • (1978) Ann Stat , vol.6 , pp. 461-464
    • Schwarz, G.1
  • 40
    • 84978574509 scopus 로고
    • Price discovery in petroleum markets: arbitrage, cointegration, and the time interval of analysis
    • Schwarz T, Szakmary A (1994) Price discovery in petroleum markets: arbitrage, cointegration, and the time interval of analysis. J Futures Markets 14(2): 147-167.
    • (1994) J Futures Markets , vol.14 , Issue.2 , pp. 147-167
    • Schwarz, T.1    Szakmary, A.2
  • 41
    • 0036841006 scopus 로고    scopus 로고
    • Price discovery in floor and screen trading systems
    • Theissen E (2002) Price discovery in floor and screen trading systems. J Empir Finance 9: 455-474.
    • (2002) J Empir Finance , vol.9 , pp. 455-474
    • Theissen, E.1
  • 43
    • 84859649775 scopus 로고    scopus 로고
    • Testing for codependence of cointegrated variables
    • Trenkler C, Weber E (2013) Testing for codependence of cointegrated variables. Appl Econ 45: 1953-1964.
    • (2013) Appl Econ , vol.45 , pp. 1953-1964
    • Trenkler, C.1    Weber, E.2
  • 44
    • 77953877016 scopus 로고    scopus 로고
    • 2 emission allowances: an empirical analysis of the trial period
    • 2 emission allowances: an empirical analysis of the trial period. J Deriv (Winter 2009(17(2): 73-88.
    • (2009) J Deriv (Winter , vol.17 , Issue.2 , pp. 73-88
    • Uhrig-Homburg, M.1    Wagner, M.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.