Mean reversion of stochastic convenience yields for CO2 emissions allowances: Empirical evidence from the EU ETS

Author:

Chang Kai,Wang Su Sheng,Peng Ke

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference31 articles.

1. Nonlinearities in carbon spot-futures price relationships during chase II of the EU ETS;Arouri;Econ. Model.,2012

2. CO2 emission allowances trading in Europe-Specifying a new class of assets;Benz;Prob. Perspect. Manage.,2006

3. Modeling the price dynamics of CO2 emission allowances;Benz;Energy Econ.,2009

4. Forecasting commodity prices: GARCH, jumps, and mean reversion;Bernard;J. Forecast.,2008

5. The international transmission of arbitrage information across futures markets;Bilson;J. Bus. Finance Account.,2005

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