skip to main content
Language:
Search Limited to: Search Limited to: Resource type Show Results with: Show Results with: Search type Index

On the Stochastic Properties of Carbon Futures Prices

Environmental & resource economics, 2014-05, Vol.58 (1), p.127-153 [Peer Reviewed Journal]

Springer Science+Business Media Dordrecht 2013 ;Springer Science+Business Media Dordrecht 2014 ;ISSN: 0924-6460 ;EISSN: 1573-1502 ;DOI: 10.1007/s10640-013-9695-2

Full text available

Citations Cited by
  • Title:
    On the Stochastic Properties of Carbon Futures Prices
  • Author: Chevallier, Julien ; Sévi, Benoît
  • Subjects: Carbon ; Carbon emissions ; Carbon offsets ; Cost control ; Economic Policy ; Economics ; Economics and Finance ; Emissions trading ; Environmental Economics ; Environmental Law/Policy/Ecojustice ; Environmental Management ; Futures ; Hedging ; Hypotheses ; Institutionalism ; Prices ; Pricing ; Stochastic models ; Stochastic processes ; Studies ; Valuation
  • Is Part Of: Environmental & resource economics, 2014-05, Vol.58 (1), p.127-153
  • Description: Pricing carbon is a central concern in environmental economics, due to the worldwide importance of emissions trading schemes to regulate pollution. This paper documents the presence of small and large jumps in the stochastic process of the CO 2 futures price. The large jumps have a discrete origin, i.e. they can arise from various demand factors or institutional decisions on the tradable permits market. Contrary to the existing literature, we show that the stochastic process of carbon futures prices does not contain a continuous component (Brownian motion). The results are derived by using high-frequency data in the activity signature function framework (Todorov and Tauchen in J Econom 154:125–138, 2010 ; Todorov and Tauchen in J Bus Econ Stat 29:356–371, 2011 ). The implication is that the carbon futures price should be modeled as an appropriately sampled, centered Lévy or Poisson process. The pure-jump behavior of the carbon price might be explained by the lower volume of trades on this allowance market (compared to other highly liquid financial markets).
  • Publisher: Dordrecht: Springer Netherlands
  • Language: English
  • Identifier: ISSN: 0924-6460
    EISSN: 1573-1502
    DOI: 10.1007/s10640-013-9695-2
  • Source: AUTh Library subscriptions: ProQuest Central
    Alma/SFX Local Collection
Back to results list
INSPIRE LIBRARY - TON DUC THANG UNIVERSITY (84-028) 37 755 057 Feedback
19 Nguyen Huu Tho St. Dist.7, HCM thuvien@tdtu.edu.vn

Copyright © 2017 INSPIRE LIBRARY - TON DUC THANG UNIVERSITY

Searching Remote Databases, Please Wait