Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme

Modeling persistence of carbon emission allowance prices

“…On the other hand, only a few papers have examined the time series properties of CO 2 emission allowance prices using daily data (Paolella and Taschini, 2008;Seifert et al, 2008;Daskalakis et al, 2009;Benz and Trück, 2009;Conrad et al, 2012;Hitzemann andUhrig-Homburg, 2013 andBenschop andLópez, 2014 Our paper also uses daily data on CO 2 emission allowance prices and extends the previous literature in two directions. Firstly, by using standard long memory and I(d) techniques, and then, by extending this approach to the case of structural breaks and non-linear deterministic trends.…”

SMART-SREC: A stochastic model of the New Jersey solar renewable energy certificate market

“…We note that even for the much-studied carbon markets, despite a number of recent empirical studies of EU ETS allowance prices (c.f. Daskalakis et al (2009), Paolella & Taschini (2008, Uhrig-Homburg & Wagner (2009)), we are unaware of any that fit to observed data via a structural or equilibrium model. Unlike the challenges of obtaining reliable high-frequency emissions data across many European countries (and complicated by carbon offset supply), SREC issuance is a single publicly available monthly time series (see NJCleanEnergy (2015)) making the market an excellent candidate for testing this type of model.…”

Statistical regularities of Carbon emission trading market: Evidence from European Union allowances

“…One of the main mechanisms of GHG reduction dictated by the protocol is the trading of human-related emission allowances, primarily the carbon dioxide (CO 2 ) in organized and competitive markets [3]. Today, several national and regional emission markets have been established in which a variety of specialized financial instruments are traded [4]. Financial markets are of great importance for economics and econophysics research.…”