Frunza, Marius-Cristian; Guegan, Dominique; … - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
The aim of this paper is to identify the fundamental factors that drive the allowances market and to built an APT-like model in order to provide accurate forecasts for CO2. We show that historic dependency patterns emphasis energy, natural gas, oil, coal and equity indexes as major factors...