On the Modeling of CO2 EUA and CER Prices of EU‐ETS for the 2008–2012 Period

DOI10.1002/ASMB.2154zbMath1420.91370OpenAlexW2314379593MaRDI QIDQ4624934

Mine Caglar, Deniz Yenigün, Ülkü Gürler, Emre Berk

Publication date: 20 February 2019

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.2154

zbMATH Keywords

fractional Brownian motionKyoto ProtocolEU-ETSEUAArma-GARCH modelsCERCO\(_2\) carbon market

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)

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Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Risk-Neutral Models for Emission Allowance Prices and Option Valuation
• Optimal Stochastic Control and Carbon Price Formation
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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• A wavelet-based joint estimator of the parameters of long-range dependence
• On the prediction of fractional Brownian motion
• Optimal Detection of Changepoints With a Linear Computational Cost
• The Endogenous Price Dynamics of Emission Allowances and an Application to CO₂Option Pricing
• A Limit Theorem for Financial Markets with Inert Investors
• Fractional Brownian Motions, Fractional Noises and Applications
• Stochastic differential equations. An introduction with applications.
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