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Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals · Study

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ArticleNonlinearity in cap-and-trade systems: The EUA price and its fundamentals

Benjamin Johannes Lutz2013

Article2013

Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals

Benjamin Johannes Lutz · Uta Pigorsch · Waldemar Rotfuß

167 citations·0/0 files stored·Energy Economics

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Market Dynamics and Volatility Climate Change Policy and Economics Sustainable Finance and Green Bonds

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1989Business conditions and expected returns on stocks and bonds 1996Modeling the conditional distribution of interest rates as a regime-switching process 2001Long memory and regime switching 1987Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage n.d.The econometrics of ultra-high frequency data /2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns 2008Price drivers and structural breaks in European carbon prices 2005–2007

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2015Price and Market Behavior in Phase II of the EU ETS: A Review of the Literature 2021The volatility connectedness of the EU carbon market with commodity and financial markets in time- and frequency-domain: The role of the U.S. economic policy uncertainty 2016Politics matters: Regulatory events as catalysts for price formation under cap-and-trade 2014What explain the short-term dynamics of the prices of CO2 emissions?2013

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Year2013

Typearticle

Published2013-06-25

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations167

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.eneco.2013.05.022

openalex_workW2265008683

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