Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2012
model - applied to carbon spot and futures prices. The results extend the previous findings by Chevallier (2010), who … studied this topic with a linear VECM. First, in the VECM with structural shift, we observe that the returns of carbon spot … effects on the carbon market. Second, we use Hansen and Seo's (2002) methodology, which points out the need to consider …