In this paper we analyze the short-term spot price behavior of carbon dioxide (CO2) emission allowances of the new EU-wide CO2 emissions trading system (EU-ETS). After reviewing the stylized facts of this new class of assets we investigate several approaches for modeling the returns of emission...

We review different methods for simulating credit migrations in a nonparametric and discrete or continuous-time Markov chain framework. We suggest the use of a factor model approach in combination with the use of copulas for the joint dynamics of credit rating changes.While there are several...

This study investigates whether the effectiveness of advertising is limited by overpricing of the advertised good. Using a proprietary database of residential property sales and listings, we find that 1) advertising is effective in increasing a good's sale hazard and transaction price and 2)...

We examine the dependence structure of electricity spot prices across regional markets in Australia. One of the major objectives in establishing a national electricity market was to provide a nationally integrated and efficient electricity market, limiting market power of generators in the...

We examine convenience yields and risk premiums in the EU-wide CO₂ emissions trading scheme (EU-ETS) during the first Kyoto commitment period (2008-2012). We find that the market has changed from initial backwardation to contango with significantly negative convenience yields in futures...

Local government in Australia has a strong collective capacity to reduce GHG emissions through policies, funding allocation to renewable energy projects and the delivery of programs and services. This study examines the institutional capacity of councils in Sydney and how this impacts on...

The renewable energy sector has accomplished remarkable growth rates over the last decade. This paper examines the dynamics of excess returns for the WilderHill New Energy Global Innovation index, which lists firms in the renewable energy sector and is used as a global benchmark. We propose a...

Climate adaptation actions are uniquely linked to locations, making it mostly a local government responsibility. Despite the obligation to act, local governments are usually slowed down, due to absence of appropriate guides to adaptation decision-making, especially adaptation to extreme events....

Public investment into risk reduction infrastructure plays an important role in facilitating adaptation to climate impacted hazards and natural disasters. In this paper, we provide an economic framework to incorporate investment timing and insurance market risk preferences when evaluating...

We investigate the forecasting performance of popular dynamic factor models of the yield curve after the global financial crisis (GFC). This time period is characterized by an unprecedented low and non-volatile interest rate environment in most major economies. We focus on the dynamic...