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• W3124254112 abstract "This paper proposes a Markov regime switching framework for modeling carbon emission (CO2) allowances that combines a regime switching behavior and disequilibrium adjustments in the mean process, along with a state-dependent dynamic volatility process. We find that all regime switching based hedging strategies significantly outperform single regime hedging strategies (both in-sample and out-of-sample), with the newly proposed framework providing the greatest variance reduction and the best hedging performance. Our results indicate that risk managers using state-dependent hedge ratios to manage portfolio risks in carbon emission markets will achieve superior hedging returns." @default.
• W3124254112 created "2021-02-01" @default.
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• W3124254112 date "2016-07-01" @default.
• W3124254112 modified "2023-10-16" @default.
• W3124254112 title "Optimal hedging in carbon emission markets using Markov regime switching models" @default.
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• W3124254112 doi "https://doi.org/10.1016/j.intfin.2016.03.003" @default.
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