An empirical investigation on the risk-return relationship of carbon future market
文献类型：期刊论文
| 作者 | Li; Ziran; Qiao; Han; Song N(宋楠); Song; Nan; Zu; Lei
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| 刊名 | JOURNAL OF SYSTEMS SCIENCE AND COMPLEXITY
 |
| 出版日期 | 2015 |
| 关键词 | Carbon price Empirical investigation European union emission trading schemes Explanatory power GARCH Information diffusion Market efficiency Policy suggestions |
| 英文摘要 | This paper examines the risk-return relationship for the carbon future market during Phases I, II and III of the European Union Emission Trading Scheme (EU ETS). The risk factors derived from the newly developed LSW model, are embedded into a GARCH framework. This new specification is compared with several GARCH-M type models analyzing the risk-return relationship in the carbon market. The results show that the new specification consistently achieves a good fit and possesses superior explanatory power for the European Union Allowance (EUA) data. Some policy suggestions regarding market efficiency are also provided. © 2015 Institute of Systems Science, Academy of Mathematics and Systems Science, CAS and Springer-Verlag Berlin Heidelberg |
| 类目[WOS] | 902.2 Codes and Standards ; 971 Social Sciences |
| 收录类别 | EI |
| 公开日期 | 2016-05-03 |
| 源URL | [http://ir.ihep.ac.cn/handle/311005/228914]  |
| 专题 | 高能物理研究所_管理与技术支持 |
| 推荐引用方式 GB/T 7714 | Li,Ziran,Qiao,et al. An empirical investigation on the risk-return relationship of carbon future market[J]. JOURNAL OF SYSTEMS SCIENCE AND COMPLEXITY,2015. |
| APA | Li.,Ziran.,Qiao.,Han.,宋楠.,...&Lei.(2015).An empirical investigation on the risk-return relationship of carbon future market.JOURNAL OF SYSTEMS SCIENCE AND COMPLEXITY. |
| MLA | Li,et al."An empirical investigation on the risk-return relationship of carbon future market".JOURNAL OF SYSTEMS SCIENCE AND COMPLEXITY (2015). |
入库方式： OAI收割
来源：高能物理研究所
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