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dc.contributor.authorChevallier, Julien
HAL ID: 7536
dc.contributor.authorLe Pen, Yannick
dc.contributor.authorSévi, Benoît
HAL ID: 3591
dc.date.accessioned2011-07-26T08:41:27Z
dc.date.available2011-07-26T08:41:27Z
dc.date.issued2011-11
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6793
dc.language.isoenen
dc.subjectEU ETSen
dc.subjectOption pricesen
dc.subjectVolatilityen
dc.subjectGARCHen
dc.subjectRolling Estimationen
dc.subjectEndogenous Structural Break Detectionen
dc.subject.ddc332en
dc.subject.classificationjelQ57en
dc.subject.classificationjelG18
dc.subject.classificationjelQ58en
dc.subject.classificationjelG13en
dc.titleOptions introduction and volatility in the EU ETSen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherUniversité de la Méditerranée Aix-Marseille II
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.relation.isversionofjnlnameResource and Energy Economics
dc.relation.isversionofjnlvol33
dc.relation.isversionofjnlissue4
dc.relation.isversionofjnldate2011-11
dc.relation.isversionofjnlpages855-880
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.reseneeco.2011.07.002
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00419339/fr/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen


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