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2013-03-04Masterarbeit DOI: 10.18452/14187
Volatility modelling of CO2 spot prices
dc.contributor.authorBenschop, Thijs
dc.date.accessioned2017-06-18T02:37:10Z
dc.date.available2017-06-18T02:37:10Z
dc.date.created2013-03-22
dc.date.issued2013-03-04
dc.identifier.urihttp://edoc.hu-berlin.de/18452/14839
dc.description.abstractIn this paper we analyse the short-term spot price of European Union Allowances (EUAs), which is of particular importance in the transition of energy markets and for the development of new risk management strategies. We use daily spot market data from the second trading period of the EU ETS. Emphasis is given to short-term forecasting of prices and volatility. Due to the characteristics of the price process, such as volatility modelling, breaks in the volatility process and heavy-tailed distributions, we investigate the use of Markov switching GARCH (MS-GARCH) models. We find that these models distinguish well between states, and that the volatility processes in the states are clearly different. Our findings support the use of MS-GARCH models for risk management, especially because their forecasting ability is better than other Markov switching or simple GARCH models.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectCO2 Emission Tradingeng
dc.subjectCO2 Emission Allowanceseng
dc.subjectSpot Price Modellingeng
dc.subjectMarkov Switching GARCH Modelseng
dc.subjectVolatility Forecastingeng
dc.subject.ddc310 Statistik
dc.subject.ddc330 Wirtschaft
dc.titleVolatility modelling of CO2 spot prices
dc.typemasterThesis
dc.identifier.urnurn:nbn:de:kobv:11-100207902
dc.identifier.doihttp://dx.doi.org/10.18452/14187
dc.contributor.refereeCabrera, Brenda López
dc.contributor.refereeHärdle, Wolfgang K.
local.edoc.pages51
local.edoc.type-nameMasterarbeit
local.edoc.institutionWirtschaftswissenschaftliche Fakultät

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