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 mo...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.展开更多
基金supported by the National Natural Science Foundation of China under Grant Nos.71003057,71003094 and 71373262Shanghai Key Laboratory of Intelligent Information Processing under Grant No.IIPL-2014-001
文摘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.
