dc.contributor.author |
Segnon, Mawuli K.
|
|
dc.contributor.author |
Lux, Thomas
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.date.accessioned |
2017-03-30T07:54:18Z |
|
dc.date.issued |
2017-03 |
|
dc.description.abstract |
The launch of the markets for carbon dioxide emission allowances was guided by the aim to use the supposedly
efficient price formation mechanism of an organized exchange to optimally allocate a certain quantity of
emissions among potential polluters. While this introduction of a centralized trading arrangement should have
helped to achieve required emission reductions with a minimum of economic losses, from the viewpoint of
market participants it has raised concerns about appropriate risk management provisions to cope with the
fluctuations of time-varying allowance prices. The present review provides an overview over state-of-the-art
models for price volatility expanding the scope from relatively simple GARCH-type models to models with longterm
dependence and regime switches including the relatively recent class of so-called multifractal models. We
provide a comparative application of these models to carbon dioxide emission allowance prices from the
European Union Emission Trading Scheme and evaluate their performance with up-to-date model comparison
tests based on out-of-sample forecasts of future volatility and value-at-risk. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.embargo |
2018-03-31 |
|
dc.description.librarian |
hb2017 |
en_ZA |
dc.description.uri |
http://www.elsevier.com/locate/rser |
en_ZA |
dc.identifier.citation |
Segnon, M, Lux, T & Gupta, R 2017, 'Modeling and forecasting the volatility of carbon dioxide emission allowance prices : a review and comparison of modern volatility models', Renewable and Sustainable Energy Reviews, vol. 69, pp. 692-704. |
en_ZA |
dc.identifier.issn |
1364-0321 (print) |
|
dc.identifier.issn |
1879-0690 (online) |
|
dc.identifier.other |
/10.1016/j.rser.2016.11.060 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/59586 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Elsevier |
en_ZA |
dc.rights |
© 2016 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. A definitive version was subsequently published in Renewable and Sustainable Energy Reviews, vol. 69, pp. 692-704, 2017. doi : /10.1016/j.rser.2016.11.060. |
en_ZA |
dc.subject |
Carbon dioxide emission allowance prices |
en_ZA |
dc.subject |
GARCH |
en_ZA |
dc.subject |
Markov-switching GARCH |
en_ZA |
dc.subject |
FIGARCH |
en_ZA |
dc.subject |
Multifractal processes |
en_ZA |
dc.subject |
SPA test |
en_ZA |
dc.subject |
Encompassing test |
en_ZA |
dc.subject |
Backtesting |
en_ZA |
dc.title |
Modeling and forecasting the volatility of carbon dioxide emission allowance prices : a review and comparison of modern volatility models |
en_ZA |
dc.type |
Postprint Article |
en_ZA |