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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

The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility

Havrylchyk, Olena; Capelle-Blancard, Gunther - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2014

In this paper, we assess the impact of the securities transaction tax (STT) introduced in France in 2012 on market liquidity and volatility. To identify causality, we rely on the unique design of this tax that is imposed only on large French firms, all listed on Euronext. This provides two...

Persistent link: https://www.econbiz.de/10010896338

Detecting instability in the volatility of carbon prices

Chevallier, Julien - In: Energy economics 33 (2011) 1, pp. 99-110

Persistent link: https://www.econbiz.de/10009262002

Variance risk-premia in CO 2 markets

Chevallier, Julien - In: Economic modelling 31 (2013), pp. 598-605

Persistent link: https://www.econbiz.de/10009731478

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