Show simple item record

dc.contributor.authorChevallier, Julien
HAL ID: 7536
dc.contributor.authorLe Pen, Yannick
dc.contributor.authorSévi, Benoît
HAL ID: 3591
dc.date.accessioned2010-07-20T09:27:26Z
dc.date.available2010-07-20T09:27:26Z
dc.date.issued2009
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/4620
dc.descriptionLe fichier attaché est celui de la présentation faite lors de la conférence ; le lien renvoie vers une version Working Paper (LEMNA, 2009/10).en
dc.language.isoenen
dc.subjectEndogenous Structural Break Detectionen
dc.subjectRolling Estimationen
dc.subjectGARCHen
dc.subjectVolatilityen
dc.subjectOption pricesen
dc.subjectEU ETSen
dc.subject.ddc332en
dc.subject.classificationjelQ58en
dc.subject.classificationjelQ57en
dc.subject.classificationjelQ48en
dc.titleOptions introduction and volatility in the EU ETSen
dc.typeCommunication / Conférence
dc.description.abstractenTo improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006 after regulatory authorization. The central question we address is: can we identify a potential destabilizing effect of the introduction of options on the underlying market (EU ETS futures)? Indeed, the literature on commodities futures suggest that the introduction of derivatives may either decrease (due to more market depth) or increase (due to more speculation) volatility. As the identification of these effects ultimately remains an empirical question, we use daily data from April 2005 to April 2008 to document volatility behavior in the EU ETS. By instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the introduction of the option market had no effect on the volatility in the EU ETS. These finding are robust to other likely influences linked to energy and commodity markets.en
dc.identifier.citationpages25en
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00419339/fr/en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitle32nd IAEE International Conferenceen
dc.relation.confdate2009-06
dc.relation.confcitySan Franciscoen
dc.relation.confcountryÉtats-Unisen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record