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Understanding volatility dynamics in the EU-ETS market

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Cited by:

  1. Zhitao Xu & Adel Elomri & Shaligram Pokharel & Fatih Mutlu, 2019. "The Design of Green Supply Chains under Carbon Policies: A Literature Review of Quantitative Models," Sustainability, MDPI, vol. 11(11), pages 1-20, May.
  2. Federico Galán-Valdivieso & Elena Villar-Rubio & María-Dolores Huete-Morales, 2018. "The erratic behaviour of the EU ETS on the path towards consolidation and price stability," International Environmental Agreements: Politics, Law and Economics, Springer, vol. 18(5), pages 689-706, October.
  3. Zhao, Xin-gang & Jiang, Gui-wu & Nie, Dan & Chen, Hao, 2016. "How to improve the market efficiency of carbon trading: A perspective of China," Renewable and Sustainable Energy Reviews, Elsevier, vol. 59(C), pages 1229-1245.
  4. Yinpeng Zhang & Zhixin Liu & Yingying Xu, 2018. "Carbon price volatility: The case of China," PLOS ONE, Public Library of Science, vol. 13(10), pages 1-15, October.
  5. Qinliang Tan & Yihong Ding & Yimei Zhang, 2017. "Optimization Model of an Efficient Collaborative Power Dispatching System for Carbon Emissions Trading in China," Energies, MDPI, vol. 10(9), pages 1-19, September.
  6. Cristina Sattarhoff & Marc Gronwald, 2018. "How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market," CESifo Working Paper Series 7102, CESifo.
  7. Xie, Qiwei & Hao, Jingjing & Li, Jingyu & Zheng, Xiaolong, 2022. "Carbon price prediction considering climate change: A text-based framework," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 382-401.
  8. Bangzhu Zhu & Shunxin Ye & Ping Wang & Julien Chevallier & Yi‐Ming Wei, 2022. "Forecasting carbon price using a multi‐objective least squares support vector machine with mixture kernels," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 100-117, January.
  9. Chen, Jiayuan & Muckley, Cal B. & Bredin, Don, 2017. "Is information assimilated at announcements in the European carbon market?," Energy Economics, Elsevier, vol. 63(C), pages 234-247.
  10. Jin, Jiayu & Han, Liyan & Wu, Lei & Zeng, Hongchao, 2020. "The hedging effect of green bonds on carbon market risk," International Review of Financial Analysis, Elsevier, vol. 71(C).
  11. Huang, Zhehao & Dong, Hao & Jia, Shuaishuai, 2022. "Equilibrium pricing for carbon emission in response to the target of carbon emission peaking," Energy Economics, Elsevier, vol. 112(C).
  12. Ren, Xiaohang & Duan, Kun & Tao, Lizhu & Shi, Yukun & Yan, Cheng, 2022. "Carbon prices forecasting in quantiles," Energy Economics, Elsevier, vol. 108(C).
  13. Aneta Wlodarczyk, 2017. "Regime-dependent Assessment of Risk Concerning the International Aviation Inclusion Into the EU ETS," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 17, pages 129-145.
  14. Cretí, Anna & Joëts, Marc, 2017. "Multiple bubbles in the European Union Emission Trading Scheme," Energy Policy, Elsevier, vol. 107(C), pages 119-130.
  15. Marc Lamphiere & Jonathan Blackledge & Derek Kearney, 2021. "Carbon Futures Trading and Short-Term Price Prediction: An Analysis Using the Fractal Market Hypothesis and Evolutionary Computing," Mathematics, MDPI, vol. 9(9), pages 1-32, April.
  16. Jianfeng Guo & Bin Su & Guang Yang & Lianyong Feng & Yinpeng Liu & Fu Gu, 2018. "How Do Verified Emissions Announcements Affect the Comoves between Trading Behaviors and Carbon Prices? Evidence from EU ETS," Sustainability, MDPI, vol. 10(9), pages 1-17, September.
  17. Uddin, Gazi Salah & Hernandez, Jose Areola & Shahzad, Syed Jawad Hussain & Hedström, Axel, 2018. "Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets," Energy Economics, Elsevier, vol. 71(C), pages 35-46.
  18. Po Yun & Chen Zhang & Yaqi Wu & Xianzi Yang & Zulfiqar Ali Wagan, 2020. "A Novel Extended Higher-Order Moment Multi-Factor Framework for Forecasting the Carbon Price: Testing on the Multilayer Long Short-Term Memory Network," Sustainability, MDPI, vol. 12(5), pages 1-16, March.
  19. Gronwald, Marc, 2019. "Is Bitcoin a Commodity? On price jumps, demand shocks, and certainty of supply," Journal of International Money and Finance, Elsevier, vol. 97(C), pages 86-92.
  20. Alexander Zeitlberger & Alexander Brauneis, 2016. "Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(1), pages 149-176, March.
  21. Qunli Wu & Hongjie Zhang, 2019. "Research on Optimization Allocation Scheme of Initial Carbon Emission Quota from the Perspective of Welfare Effect," Energies, MDPI, vol. 12(11), pages 1-27, June.
  22. Yuqin Zhou & Shan Wu & Zhenhua Liu & Lavinia Rognone, 2023. "The asymmetric effects of climate risk on higher-moment connectedness among carbon, energy and metals markets," Nature Communications, Nature, vol. 14(1), pages 1-16, December.
  23. Reckling, Dennis, 2016. "Variance risk premia in CO2 markets: A political perspective," Energy Policy, Elsevier, vol. 94(C), pages 345-354.
  24. Tan, Qinliang & Ding, Yihong & Ye, Qi & Mei, Shufan & Zhang, Yimei & Wei, Yongmei, 2019. "Optimization and evaluation of a dispatch model for an integrated wind-photovoltaic-thermal power system based on dynamic carbon emissions trading," Applied Energy, Elsevier, vol. 253(C), pages 1-1.
  25. Friedrich, Marina & Mauer, Eva-Maria & Pahle, Michael & Tietjen, Oliver, 2020. "From fundamentals to financial assets: the evolution of understanding price formation in the EU ETS," EconStor Preprints 196150, ZBW - Leibniz Information Centre for Economics, revised 2020.
  26. Xianzi Yang & Chen Zhang & Yu Yang & Yaqi Wu & Po Yun & Zulfiqar Ali Wagan, 2020. "China’s Carbon Pricing Based on Heterogeneous Tail Distribution," Sustainability, MDPI, vol. 12(7), pages 1-16, April.
  27. Peng Chen & Andrew Vivian & Cheng Ye, 2022. "Forecasting carbon futures price: a hybrid method incorporating fuzzy entropy and extreme learning machine," Annals of Operations Research, Springer, vol. 313(1), pages 559-601, June.
  28. Zhu, Mengrui & Xu, Hua & Wang, Minggang & Tian, Lixin, 2024. "Carbon price interval prediction method based on probability density recurrence network and interval multi-layer perceptron," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 636(C).
  29. Fan, John Hua & Todorova, Neda, 2017. "Dynamics of China’s carbon prices in the pilot trading phase," Applied Energy, Elsevier, vol. 208(C), pages 1452-1467.
  30. Li, Wei & Jia, Zhijie, 2016. "The impact of emission trading scheme and the ratio of free quota: A dynamic recursive CGE model in China," Applied Energy, Elsevier, vol. 174(C), pages 1-14.
  31. Wu, Rongxin & Tan, Zhizhou & Lin, Boqiang, 2023. "Does carbon emission trading scheme really improve the CO2 emission efficiency? Evidence from China's iron and steel industry," Energy, Elsevier, vol. 277(C).
  32. Sun, Qingqing & Chen, Hong & Long, Ruyin & Chen, Jiawei, 2024. "Integrated prediction of carbon price in China based on heterogeneous structural information and wall-value constraints," Energy, Elsevier, vol. 306(C).
  33. Jujie Wang & Shiyao Qiu, 2021. "Improved Multi-Scale Deep Integration Paradigm for Point and Interval Carbon Trading Price Forecasting," Mathematics, MDPI, vol. 9(20), pages 1-20, October.
  34. Zhu, Bangzhu & Wan, Chunzhuo & Wang, Ping, 2022. "Interval forecasting of carbon price: A novel multiscale ensemble forecasting approach," Energy Economics, Elsevier, vol. 115(C).
  35. Wei, Yigang & Gong, Ping & Zhang, Jianhong & Wang, Li, 2021. "Exploring public opinions on climate change policy in "Big Data Era"—A case study of the European Union Emission Trading System (EU-ETS) based on Twitter," Energy Policy, Elsevier, vol. 158(C).
  36. Tan, Xueping & Sirichand, Kavita & Vivian, Andrew & Wang, Xinyu, 2022. "Forecasting European carbon returns using dimension reduction techniques: Commodity versus financial fundamentals," International Journal of Forecasting, Elsevier, vol. 38(3), pages 944-969.
  37. Jianguo Zhou & Xuejing Huo & Xiaolei Xu & Yushuo Li, 2019. "Forecasting the Carbon Price Using Extreme-Point Symmetric Mode Decomposition and Extreme Learning Machine Optimized by the Grey Wolf Optimizer Algorithm," Energies, MDPI, vol. 12(5), pages 1-22, March.
  38. Tan, Xue-Ping & Wang, Xin-Yu, 2017. "Dependence changes between the carbon price and its fundamentals: A quantile regression approach," Applied Energy, Elsevier, vol. 190(C), pages 306-325.
  39. Simon Cadez & Albert Czerny & Peter Letmathe, 2019. "Stakeholder pressures and corporate climate change mitigation strategies," Business Strategy and the Environment, Wiley Blackwell, vol. 28(1), pages 1-14, January.
  40. Balietti, Anca Claudia, 2016. "Trader types and volatility of emission allowance prices. Evidence from EU ETS Phase I," Energy Policy, Elsevier, vol. 98(C), pages 607-620.
  41. Rui Zhu & Liyu Long & Yinghua Gong, 2022. "Emission Trading System, Carbon Market Efficiency, and Corporate Innovations," IJERPH, MDPI, vol. 19(15), pages 1-22, August.
  42. Yan, Kai & Zhang, Wei & Shen, Dehua, 2020. "Stylized facts of the carbon emission market in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 555(C).
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