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Produktbild: Econometric Analysis of Carbon Markets

Econometric Analysis of Carbon Markets The European Union Emissions Trading Scheme and the Clean Development Mechanism

Fr. 72.90

inkl. gesetzl. MwSt., Versandkostenfrei

Beschreibung

Produktdetails

Einband

Taschenbuch

Erscheinungsdatum

28.11.2014

Verlag

Springer Netherland

Seitenzahl

217

Maße (L/B/H)

23.5/15.5/1.4 cm

Gewicht

382 g

Auflage

2012

Sprache

Englisch

ISBN

978-94-007-9666-9

Beschreibung

Produktdetails

Einband

Taschenbuch

Erscheinungsdatum

28.11.2014

Verlag

Springer Netherland

Seitenzahl

217

Maße (L/B/H)

23.5/15.5/1.4 cm

Gewicht

382 g

Auflage

2012

Sprache

Englisch

ISBN

978-94-007-9666-9

Herstelleradresse

Springer-Verlag KG
Sachsenplatz 4-6
1201 Wien
AT

Email: ProductSafety@springernature.com

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  • Produktbild: Econometric Analysis of Carbon Markets
  • 1. Introduction to Emissions Trading
    1.1 Review of International Climate Policies
    1.1.1 From Rio to Durban
    1.1.2 The Burgeoning EU CO2 Allowance Trading Market
    1.2. Market Design Issues
    1.2.1 Initial Allocation Rules
    1.2.2 Equilibrium Permits Price
    1.2.3 Spatial and Temporal Limits
    1.2.4 Safety Valve
    1.3. Key Features of the EU Emissions Trading Scheme
    1.3.1 Scope and Allocation
    1.3.2 Calendar
    1.3.3 Penalties
    1.3.4 Market Players
    1.4 EUA Price Development
    1.4.1 Structure and Main Features of EU ETS Contracts
    1.4.2 Carbon Price
    1.4.3 Descriptive Statistics
     
    2. CO2 Price Fundamentals
    2.1 Institutional Decisions
    2.1.1 Dummy Variables
    2.1.2 Structural Breaks
    2.2 Energy Prices
    2.2.1 Literature Review
    2.2.2 Oil, Natural Gas and Coal
    2.2.3 Electricity Variables
    2.3 Extreme Weather Events
    2.3.1 Relationship Between Temperatures and Carbon Prices
    2.3.2 Empirical Application
    Appendix: BEKK MGARCH Modeling With CO2 and Energy Prices
    Problems
     
    3. Link With The Macroeconomy
    3.1 Stock and Bonds Markets
    3.1.1 GARCH Modeling of the Carbon Price
    3.1.2 Relationship With Stock and Bond Markets
    3.2 Macroeconomic, Financial and Commodity Indicators
    3.2.1 Extracting Factors Based On Principal Component Analysis
    3.2.2 Factor-Augmented VAR Analysis Applied to EUAs
    3.3 Industrial Production
    3.3.1 Data
    3.3.2 Nonlinearity Tests
    3.3.3 Self-Exciting Threshold Autoregressive Models
    3.3.4 Comparing Smooth Transition and Markov-Switching Autoregressive Models
     
    4. The Clean Development Mechanism
    4.1 CERs Contracts and Price Development
    4.2 Relationship With EU Emissions Allowances
    4.2.1 VAR Analysis
    4.2.2 Cointegration
    4.3 CERs Price Drivers
    4.3.1 Zivot-Andrews Structural Break Test
    4.3.2 Regression Analysis
    4.4 Arbitrage Strategies: The CER-EUA Spread
    4.4.1 Why So Much Interest in this Spread?
    4.4.2 Spread Drivers
    Appendix: Markov Regime-Switching Modeling With EUAs And CERs
    Problems
     
    5. Risk-Hedging Strategies And Portfolio Management
    5.1 Risk Factors
    5.1.1 Idiosyncratic Risks
    5.1.2 Common Risk Factors
    5.2 Risk Premia
    5.2.1 Theory On Spot-Futures Relationships in Commodity Markets
    5.2.2 Bessembinder and Lemmon’s (2002) Futures-Spot Structural Model
    5.2.3 Empirical Application
    5.3 Managing Carbon Price Risk In The Power Sector
    5.3.1 Economic Rationale
    5.3.2 UK Power Sector
    5.3.3 Factors Influencing Fuel-Switching
    5.3.4 Econometric Analysis
    5.3.5 Empirical Results
    5.3.6 Summary
    5.4 Portfolio Management
    5.4.1 Composition of the Portfolio
    5.4.2 Mean-Variance Optimization and the Portfolio Frontier
    Appendix: Implied Volatility From Option Pricing
    Problems
     
    6. Advanced Topics: Time-To-Maturity and Modeling the Volatility of Carbon Prices
    6.1 The Relationship Between Volatility and Time-To-Maturity in Carbon Prices
    6.2 Background On the Samuelson Hypothesis
    6.3 Data
    6.3.1 Daily Frequency
    6.3.2 Intraday Frequency
    6.4 The ‘Net Carry Cost’ Approach
    6.4.1 Computational Steps
    6.4.2 Regression Analysis
    6.4.3 Empirical Results
    6.5 GARCH Modeling
    6.5.1 GARCH Specification
    6.5.2 Empirical Results
    6.6 Realized Volatility Modeling
    6.6.1 Computational Steps
    6.6.2 Regression Analysis
    6.6.3 Empirical Results
    6.6.4 Sensitivity Tests
    6.7 Summary
    Appendix: Statistical Techniques To Detect Instability In The Volatility Of Carbon Prices
     
    Solutions
     
    Index