Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/53254 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorChevallier, Julienen
dc.contributor.authorSévi, Benoîten
dc.date.accessioned2011-12-15T11:32:00Z-
dc.date.available2011-12-15T11:32:00Z-
dc.date.issued2009-
dc.identifier.urihttp://hdl.handle.net/10419/53254-
dc.description.abstractThe recent implementation of the EU Emissions Trading Scheme (EU ETS) in January 2005 created new financial risks for emitting firms. To deal with these risks, options are traded since October 2006. Because the EU ETS is a new market, the relevant underlying model for option pricing is still a controversial issue. This article improves our understanding of this issue by characterizing the conditional and unconditional distributions of the realized volatility for the 2008 futures contract in the European Climate Exchange (ECX), which is valid during Phase II (2008-2012) of the EU ETS. The realized volatility measures from naive, kernel-based and subsampling estimators are used to obtain inferences about the distributional and dynamic properties of the ECX emissions futures volatility. The distribution of the daily realized volatility in logarithmic form is shown to be close to normal. The mixture-of-distributions hypothesis is strongly rejected, as the returns standardized using daily measures of volatility clearly departs from normality. A simplified HAR-RV model (Corsi, 2009) with only a weekly component, which reproduces long memory properties of the series, is then used to model the volatility dynamics. Finally, the predictive accuracy of the HAR-RV model is tested against GARCH specifications using one-step-ahead forecasts, which confirms the HAR-RV superior ability. Our conclusions indicate that (i) the standard Brownian motion is not an adequate tool for option pricing in the EU ETS, and (ii) a jump component should be included in the stochastic process to price options, thus providing more efficient tools for risk-management activities.en
dc.language.isoengen
dc.publisher|aFondazione Eni Enrico Mattei (FEEM) |cMilanoen
dc.relation.ispartofseries|aNota di Lavoro |x113.2009en
dc.subject.jelC5en
dc.subject.jelG1en
dc.subject.jelQ4en
dc.subject.ddc330en
dc.subject.keywordCO2 Priceen
dc.subject.keywordRealized Volatilityen
dc.subject.keywordHAR-RVen
dc.subject.keywordGARCHen
dc.subject.keywordFutures Tradingen
dc.subject.keywordEmissions Marketsen
dc.subject.keywordEU ETSen
dc.subject.keywordIntraday dataen
dc.subject.keywordForecastingen
dc.subject.stwEmissionshandelen
dc.subject.stwVolatilitäten
dc.subject.stwStatistische Verteilungen
dc.subject.stwEU-Staatenen
dc.titleOn the realized volatility of the ECX CO2 Emissions 2008 Futures Contract: distribution, dynamics and forecasting-
dc.typeWorking Paperen
dc.identifier.ppn646490710en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

Datei(en):
Datei
Größe
753.34 kB





Publikationen in EconStor sind urheberrechtlich geschützt.