Modeling the price dynamics of CO2 emission allowances

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.…”

“…However, instead of using previous models or approaches already used in the literature such as mixed GARCH models (Paolella and Taschini, 2008), Markov switching and GARCH (Benz and Trück, 2009), fractionally integrated asymmetric power GARCH (Conrad et al, 2012), or Markov switching GARCH models (Benschop and López, 2014), we use other recently developed methodologies based on the concept of long run dependence or long memory processes in the context of non-linearities and structural breaks.…”

Options introduction and volatility in the EU ETS

“…The GARCH modeling approach adopted here is common for financial time-series, and has been applied to carbon prices in previous literature (Paolella and Taschini (2008), Benz and Truck (2009)). …”

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

“…Pallella and Taschini provided an econometric analysis addressing the unconditional tail behavior and the heteroskedastic dynamics in the returns [7]. Benz and Truck analyzed the short-term spot price behavior and model the returns of CO 2 emission allowances by Markov switching and AR-GARCH models [8]. Feng and Zou investigated the fluctuation of volatility by using random walk model, rescaled range analysis, and ARFIMA model [9].…”