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Modelling risk premia in CO2 allowances spot and futures prices
Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2010
This article analyzes the modelling of risk premia in CO2 allowances spot and futures prices, valid for compliance under the EU Emissions Trading Scheme (EU ETS). Similarly to electricity markets, a salient characteristic of CO2 allowances is that the theory of storage does not hold, as CO2...
Persistent link: https://www.econbiz.de/10011072123
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A conditional dependence approach to CO2-energy price relationships
Chevallier, Julien; Nguyen, Duc Khuong; Reboredo, Juan … - In: Energy economics 81 (2019), pp. 812-821
Persistent link: https://www.econbiz.de/10012172993
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European Carbon Prices Fundamentals in 2005-2007 : The Effects of Energy Markets, Temperatures and Sectorial Production
Alberola, Emilie; Chevallier, Julien; Chèze, Benoît - 2014
This article aims at characterizing the daily price fundamentals of European Union Allowances (EUAs) traded since 2005 as part of the Emissions Trading Scheme (ETS). First, the presence of two structural changes on April, 2006 following the disclosure of 2005 verified emissions and on October,...
Persistent link: https://www.econbiz.de/10014221321
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Tail risk contagion across electricity markets in crisis periods
Abdullah, Mohammad; Abakah, Emmanuel Joel Aikins; … - In: Energy economics 127 (2023) 2, pp. 1-23
Persistent link: https://www.econbiz.de/10014490825
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Connectedness and directional spillovers in energy sectors : international evidence
Tiwari, Aviral Kumar; Abakah, Emmanuel Joel Aikins; … - In: Applied economics 54 (2022) 22, pp. 2554-2569
Persistent link: https://www.econbiz.de/10013171104
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Spillovers and directional predictability between international energy commodities and their implications for optimal portfolio and hedging
Trabelsi, Nader; Tiwari, Aviral Kumar; Hammoudeh, Shawkat - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-35
Persistent link: https://www.econbiz.de/10013534076
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Quantile risk spillovers between energy and agricultural commodity markets : evidence from pre and during COVID-19 outbreak
Tiwari, Aviral Kumar; Abakah, Emmanuel Joel Aikins; … - In: Energy economics 113 (2022), pp. 1-23
Persistent link: https://www.econbiz.de/10013540565
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Existence of long memory in crude oil and petroleum products : generalised Hurst exponent approach
Tiwari, Aviral Kumar; Umar, Zaghum; Alqahtani, Faisal - In: Research in international business and finance 57 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10013332984
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On the realized volatility of the ECX CO2 Emissions 2008 Futures Contract: distribution, dynamics and forecasting
Chevallier, Julien; Sévi, Benoît - 2009
The recent implementation of the EU Emissions Trading Scheme (EU ETS) in January 2005 created new financial risks for emitting firms. To deal with these risks, options are traded since October 2006. Because the EU ETS is a new market, the relevant underlying model for option pricing is still a...
Persistent link: https://www.econbiz.de/10010279482
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On the realized volatility of the ECX CO2 Emissions 2008 Futures Contract: distribution, dynamics and forecasting
Chevallier, Julien; Sévi, Benoît - 2009
The recent implementation of the EU Emissions Trading Scheme (EU ETS) in January 2005 created new financial risks for emitting firms. To deal with these risks, options are traded since October 2006. Because the EU ETS is a new market, the relevant underlying model for option pricing is still a...
Persistent link: https://www.econbiz.de/10008840052