In this paper we examine the nonlinear relation between the EUA price and its fundamentals, such as energy prices, macroeconomic risk factors and weather conditions. By estimating a Markov regime-switching model, we find that the relation between the EUA price and its fundamentals varies over...

In this paper we examine the nonlinear relation between the EUA price and its fundamentals, such as energy prices, macroeconomic risk factors and weather conditions. By estimating a Markov regime-switching model, we find that the relation between the EUA price and its fundamentals varies over...

Germany taxes electricity use since 1999. The government granted reduced rates to energy intensive firms in the industrial sector for addressing potentially adverse effects on firms' competitiveness. Firms that use more electricity than certain thresholds established by legislation, pay reduced...

Current climate and energy policy has to operate under an ex-ante unforeseen economic crisis. An obvious consequence is the collapse of prices for carbon emission allowances as, for example, seen in the European Union. However, this price collapse may be amplified by the interaction of a carbon...

This work provides a descriptive overview of Russian markets for financial derivatives. Available figures for the exchange-traded and over-the-counter-traded derivatives in Russia show that the Russian derivatives markets experienced enormous growth rates since the financial crisis in 1998....

In recent years, with the availability of high-frequency financial market data modeling realized volatility has become a new and innovative research direction. The construction of “observable” or realized volatility series from intra-day transaction data and the use of standard time-series...