This paper investigates the empirical association between stock market volatility and investor mood-proxies related to the weather (cloudiness, temperature and precipitation) and the environment (nighttime length). Overall, our results suggest that cloudiness and length of nighttime are...

The links between emission and energy markets are of great interest to practitioners, academics and policy makers. In this paper, it is conjectured that a positive relationship exists between emission allowance spot returns and electricity risk premia within the European Union Emissions Trading...

The estimation of the inverse covariance matrix plays a crucial role in optimal portfolio choice. We propose a new estimation framework that focuses on enhancing portfolio performance. The framework applies the statistical methodology of shrinkage directly to the inverse covariance matrix using...

Motivated by recent evidence on the possibility of jumps in carbon dioxide emission levels and abrupt increases in pollutant-related socio-economic costs, this paper uses a real options approach to examine their impact with respect to the optimal timing of environmental policies and the optimal...

This paper explores the finite sample properties of the GARCH option pricing model proposed by Heston and Nandi (2000). Simulation results show that the maximum likelihood estimators of the GARCH process may contain substantial estimation biases, even when samples as large as 3,000 observations...

This paper studies the three main markets for emission allowances within the European Union Emissions Trading Scheme (EU ETS): Powernext, Nord Pool and European Climate Exchange (ECX). The analysis suggests that the prohibition of banking of emission allowances between distinct phases of the EU...

The recent literature on applied energy has emphasized the role of energy storage in the electricity supply chain. However, absence of an integrated valuation framework for services provided by energy storage technologies, owed to its limited scope so far, hinders investments in such capital...

I examine in the period 2008–2011 the efficiency of four carbon dioxide (CO2) emission allowance futures traded in the Intercontinental Exchange (ICE). To this end, I assess the profitability of trading strategies based on simple technical analysis rules and naïve forecasts. The results from...