Narrow search
Showing 1 - 10 of 14
Cover Image
Options introduction and volatility in the EU ETS
Chevallier, Julien; Pen, Yannick Le; Sévi, Benoît - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2009
To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006 after regulatory authorization. The central question we address is: can we identify a potential destabilizing effect of the...
Persistent link: https://www.econbiz.de/10008479209
Cover Image
Options Introduction and Volatility in the EU ETS
Chevallier, Julien; Pen, Yannick Le; Sévi, Benoît - HAL - 2009
To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006 after regulatory authorization. The central question we address is: can we identify a potential destabilizing effect of the...
Persistent link: https://www.econbiz.de/10008794422
Cover Image
Options introduction and volatility in the EU ETS
Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - In: Resource and Energy Economics 33 (2011) 4, pp. 855-880
To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006. The central question we address is: can we identify a potential destabilizing effect of the introduction of options on the...
Persistent link: https://www.econbiz.de/10010576622
Cover Image
Options introduction and volatility in the EU ETS
Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - Chaire d'Économie du Climat, Université … - 2011
To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006. The central question we address is: can we identify a potential destabilizing effect of the introduction of options on the...
Persistent link: https://www.econbiz.de/10009385714
Cover Image
Options introduction and volatility in the EU ETS
Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2009
To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006 after regulatory authorization. The central question we address is: can we identify a potential destabilizing effect of the...
Persistent link: https://www.econbiz.de/10010707372
Cover Image
Options introduction and volatility in the EU ETS
Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2011
To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006 after regulatory authorization. The central question we address is: can we identify a potential destabilizing effect of the...
Persistent link: https://www.econbiz.de/10010707678
Cover Image
Options introduction and volatility in the EU ETS.
Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine
To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006 after regulatory authorization. The central question we address is: can we identify a potential destabilizing effect of the...
Persistent link: https://www.econbiz.de/10008460929
Cover Image
Jump-robust estimation of realized volatility in the EU emissions trading scheme
Chevallier, Julien; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2010
With the increased availability of high-frequency financial market data in recent years, the extraction of “realized” volatility (from intraday squared returns) has led to numerous theoretical developments and empirical applications for a wide range of equity and commodity markets. This...
Persistent link: https://www.econbiz.de/10011166543
Cover Image
On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting
Chevallier, Julien; Sévi, Benoît - EconomiX, Université Paris Ouest-Nanterre la Défense … - 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/10005078954
Cover Image
On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting
Chevallier, Julien; Sévi, Benoît - Fondazione ENI Enrico Mattei (FEEM) - 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/10008502108