Modeling persistence of carbon emission allowance prices
| dc.contributor.author | Gil-Alana, Luis A. | |
| dc.contributor.author | De Gracia, Fernando Perez | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_ZA |
| 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 |