Gorenflo, Marcel - In: Empirical Economics 45 (2013) 3, pp. 1025-1047
We analyze the pricing and lead–lag relationship between spot and futures prices of CO<Subscript>2</Subscript> emission allowances in the EU emission trading scheme. We show that the cost-of-carry hypothesis between spot and futures prices holds for the trial period. In this period we focus on how fast a deviation...</subscript>