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- W2051496075 abstract "It firstly analyzes effects of price shocks in ECX CER spot market and futures markets applying VAR model and Impulse Response Analysis. The results are found that price shocks of CER spot price with Cholesky one standard deviation innovations to itself and futures prices of Dec09 CER, Dec10 CER, Dec11 CER and Dec12 CER show high positive effects while price shocks of CER futures prices to themselves and CER spot price exhibit low positive effects, even negative effects. Besides, it respectively fits characteristics of returns series in CER futures markets and spot market using t-GARCH model, Gaussian-GARCH model, t-GJR model and Gaussian-GJR model. It displays that t-GARCH (1, 1) model is the optimal model to fit the returns series. Meanwhile, we suggest the use of Markov regime-switching model for ECX CER stochastic modeling, indicating that both CER spot market and futures markets exhibit high stochastic behavior in the returns." @default.
- W2051496075 created "2016-06-24" @default.
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- W2051496075 date "2011-10-01" @default.
- W2051496075 modified "2023-09-25" @default.
- W2051496075 title "Dynamic Effects in International Carbon Emission Markets: Evidence from ECX CER" @default.
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- W2051496075 doi "https://doi.org/10.1109/bife.2011.51" @default.
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