Trück, Stefan; Härdle, Wolfgang; Weron, Rafal - Hugo Steinhaus Center for Stochastic Methods, … - 2012
In this paper we investigate the relationship between spot and futures prices within the EU-wide CO2 emissions trading … scheme (EU-ETS). We conduct an empirical study on price behavior, volatility term structure and correlations in different CO2 … EU Allowance (EUA) contracts during the pilot trading and Kyoto commitment periods. We find that while for the pilot …