An empirical investigation on the risk-return relationship of carbon future market
Li; Ziran; Qiao; Han; Song N(宋楠); Song; Nan; Zu; Lei
刊名JOURNAL OF SYSTEMS SCIENCE AND COMPLEXITY
2015
关键词Carbon price Empirical investigation European union emission trading schemes Explanatory power GARCH Information diffusion Market efficiency Policy suggestions
DOI10.1007/s11424-015-4141-x
文章类型Article
英文摘要This paper examines the risk-return relationship for the carbon future market during Phases I, II and III of the European Union Emission Trading Scheme (EU ETS). The risk factors derived from the newly developed LSW model, are embedded into a GARCH framework. This new specification is compared with several GARCH-M type models analyzing the risk-return relationship in the carbon market. The results show that the new specification consistently achieves a good fit and possesses superior explanatory power for the European Union Allowance (EUA) data. Some policy suggestions regarding market efficiency are also provided. © 2015 Institute of Systems Science, Academy of Mathematics and Systems Science, CAS and Springer-Verlag Berlin Heidelberg
类目[WOS]902.2 Codes and Standards ; 971 Social Sciences
收录类别EI
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文献类型期刊论文
条目标识符http://ir.ihep.ac.cn/handle/311005/228914
专题中国科学院高能物理研究所_管理与技术支持_期刊论文
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Li,Ziran,Qiao,et al. An empirical investigation on the risk-return relationship of carbon future market[J]. JOURNAL OF SYSTEMS SCIENCE AND COMPLEXITY,2015.
APA Li.,Ziran.,Qiao.,Han.,宋楠.,...&Lei.(2015).An empirical investigation on the risk-return relationship of carbon future market.JOURNAL OF SYSTEMS SCIENCE AND COMPLEXITY.
MLA Li,et al."An empirical investigation on the risk-return relationship of carbon future market".JOURNAL OF SYSTEMS SCIENCE AND COMPLEXITY (2015).
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