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- W2359112993 abstract "This paper proposes that spot and futures prices of CER carbon emissions exihibit significant co-integration relation using Engle Granger's two-step model(EG) and error-correction model(ECM).We present empirical evidence on time-varying optimal hedge ratio and hedging efficiency between spot and futures for CER carbon emissions by using the error-correction generalized autoregressive conditional heteroskedasticity(ECM-GARCH) and modified ECM-GARCH.Our empirical results show optimally dynamic hedge ratios from the ECM-GARCH and modified ECM-GARCH exhibit obvious time-varying trends,previous prices information and error-correction term both spot and futures for carbon emissions have significant impacts on hedging portfolio effectiveness.Compared with ECM-GARCH model,market participants can optimize assets portfolio sizes and effectively decrease market risks of assets portfolio returns." @default.
- W2359112993 created "2016-06-24" @default.
- W2359112993 creator A5036801913 @default.
- W2359112993 date "2013-01-01" @default.
- W2359112993 modified "2023-09-24" @default.
- W2359112993 title "Carbon Emissions、Dynamic Hedging and Return on Assets Risk" @default.
- W2359112993 hasPublicationYear "2013" @default.
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