Modeling persistence of carbon emission allowance prices

Gil-Alana, Luis A.; De Gracia, Fernando Perez; Gupta, Rangan

dc.contributor.author	Gil-Alana, Luis A.
dc.contributor.author	De Gracia, Fernando Perez
dc.contributor.author	Gupta, Rangan
dc.date.accessioned	2016-07-14T05:33:06Z
dc.date.issued	2016-03
dc.description.abstract	This study reexamines the issue of persistence in carbon emission allowance spot prices, using daily data, and covering the period from 28/2/2007 to 14/05/2014. For this purpose we use techniques based on the concept of long memory accounting for structural breaks and non-linearities in the data, with both of these aspects potentially affecting the degree of persistence. Our results indicate that, while there is no evidence of non-linearity, when allowing for structural breaks, persistence of shocks to the carbon emission allowance is markedly reduced, with the same being transitory in nature for recent sub-samples.	en_ZA
dc.description.department	Economics	en_ZA
dc.description.embargo	2017-03-31
dc.description.librarian	hb2016	en_ZA
dc.description.uri	http://www.elsevier.com/locate/rser	en_ZA
dc.identifier.citation	Gil-Alana, LA, De Gracia, FP & Gupta, R 2016, 'Modeling persistence of carbon emission allowance prices', Renewable and Sustainable Energy Reviews, vol. 55, pp. 221-226	en_ZA
dc.identifier.issn	1364-0321 (print)
dc.identifier.issn	1879-0690 (online)
dc.identifier.other	10.1016/j.rser.2015.10.056
dc.identifier.uri	http://hdl.handle.net/2263/55823
dc.language.iso	en	en_ZA
dc.publisher	Elsevier	en_ZA
dc.rights	© 2015 Elsevier Ltd. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Renewable and Sustainable Energy Reviews . Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Renewable and Sustainable Energy Reviews, vol. 55, pp. 221-226, 2016. doi : 10.1016/j.rser.2015.10.056.	en_ZA
dc.subject	CO2 emission allowance prices	en_ZA
dc.subject	Fractional integration	en_ZA
dc.subject	Nonstationarity	en_ZA
dc.title	Modeling persistence of carbon emission allowance prices	en_ZA
dc.type	Postprint Article	en_ZA