Narrow search
Showing 1 - 10 of 52,713
Cover Image
Statistical evidence of tax fraud on the carbon allowances market.
Frunza, Marius-Cristian; Guegan, Dominique; … - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
Added Tax fraud on European carbon allowances markets. This fraud mainly occurred at the beginning of between the end of … market behavior as well as the reflexion on its econometric features. In a previous work, we showed that the European carbon … market is strongly influenced by fundamentals factors as oil, energy, gas, coal and equity prices. Therefore, we calibrated …
Persistent link: https://www.econbiz.de/10008679901
Cover Image
Statistical evidence of tax fraud on the carbon allowances market
Frunza, Marius-Cristian; Guegan, Dominique; … - HAL - 2010
Added Tax fraud on European carbon allowances markets. This fraud mainly occurred at the beginning of between the end of … market behavior as well as the reflexion on its econometric features. In a previous work, we showed that the European carbon … market is strongly influenced by fundamentals factors as oil, energy, gas, coal and equity prices. Therefore, we calibrated …
Persistent link: https://www.econbiz.de/10010603685
Cover Image
Dynamic factor analysis of carbon allowances prices: From classic Arbitrage Pricing Theory to Switching Regimes
Frunza, Marius-Cristian; Guegan, Dominique; … - HAL - 2010
-like model in order to provide accurate forecasts for CO2. We show that historic dependency patterns emphasis energy, natural gas …, oil, coal and equity indexes as major factors driving the carbon allowances prices. There is strong evidence that model …
Persistent link: https://www.econbiz.de/10010603635
Cover Image
Approaches to the forecast formation of the development of the russian energy sector as a component part of scenarios for decarbonization of the country's economy
Filippov, S. P.; Veselov, F. V.; Keiko, A. V.; … - In: Studies on Russian economic development 34 (2023) 6, pp. 769-777
Persistent link: https://www.econbiz.de/10015394818
Cover Image
Scenario generation for long run interest rate risk assessment
Engle, Robert F.; Roussellet, Guillaume; Siriwardane, … - In: Journal of econometrics 201 (2017) 2, pp. 333-347
Persistent link: https://www.econbiz.de/10011920512
Cover Image
Model-driven multimodal LSTM-CNN for unbiased structural forecasting of European Union allowances open-high-low-close price
Huang, Wenyang; Zhao, Jianyu; Wang, Xiaokang - In: Energy economics 132 (2024), pp. 1-19
Persistent link: https://www.econbiz.de/10015047653
Cover Image
Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model
Liu, Jian; Zhang, Ziting; Yan, Lizhao; Wen, Fenghua - In: Financial innovation : FIN 7 (2021), pp. 1-19
EUA futures. Specifically, the forecast accuracy of the EU EPU index is significantly higher than that of the global EPU …This study investigates the impact of economic policy uncertainty (EPU) on the volatility of European Union (EU) carbon … futures prices and whether it has predictive power for the volatility of carbon futures prices. The GARCH-MIDAS model is …
Persistent link: https://www.econbiz.de/10012705421
Cover Image
An economic view of carbon allowances market.
Frunza, Marius-Cristian; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009
market, and regarding the carbon as a commodity. We investigate the econometric particularities of CO2 prices behavior and … structured product specific to the carbon market, the swap between two carbon instruments : The European Union Allowances and the …
Persistent link: https://www.econbiz.de/10004999114
Cover Image
Derivative pricing and hedging on Carbon Market.
Frunza, Marius-Cristian; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
market, and analyze the carbon as a commodity. We investigate the econometric particularities of CO2 prices behavior and … mainly upon jump diffusions and generalized hyperbolic distributions. These models are used for pricing and hedging of carbon …
Persistent link: https://www.econbiz.de/10008622050
Cover Image
An economic view of carbon allowances market
Frunza, Marius-Cristian; Guegan, Dominique - HAL - 2009
market, and regarding the carbon as a commodity. We investigate the econometric particularities of CO2 prices behavior and … structured product specific to the carbon market, the swap between two carbon instruments : The European Union Allowances and the …
Persistent link: https://www.econbiz.de/10010738507