Jonathan Berrisch, Sven Pappert, Florian Ziel, Antonia Arsova
arXiv 30 Aug 2022 · Finance — Statistical Finance · publishedFinance research letters (2022) · 28 citations (OpenAlex)
arXiv:2208.14311 · PDF · DOI · OpenAlex · Extracted main text
We study the prices of European Emission Allowances (EUA), whereby we analyze their uncertainty and dependencies on related energy prices (natural gas, coal, and oil). We propose a probabilistic multivariate conditional time series model with a VECM-Copula-GARCH structure which exploits key characteristics of the data. Data are normalized with respect to inflation and carbon emissions to allow for proper cross-series evaluation. The forecasting performance is evaluated in an extensive rolling-window forecasting study, covering eight years out-of-sample. We discuss our findings for both levels- and log-transformed data, focusing on time-varying correlations, and in view of the Russian invasion of Ukraine.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Benz, E., & Trück, S (2009) Modeling the price dynamics of co2 emission allowances | 0.511 | 2 | 1 | 100% |
| 2 | Jondeau, E., & Rockinger, M (2006) The copula-garch model of conditional dependencies: An international stock market application | 0.511 | 2 | 1 | 100% |
| 3 | Paolella, M. S., & Taschini, L (2008) An econometric analysis of emission allowance prices | 0.511 | 2 | 1 | 100% |
| 4 | Trabelsi, N., & Tiwari, A. K (2022) Co2 emission allowances risk prediction with gas and garch models | 0.511 | 2 | 1 | 100% |
| 5 | Demetrescu, M., Golosnoy, V., & Titova, A (2020) Bias corrections for exponentially transformed forecasts: Are they worth the effort? | 0.405 | 1 | 1 | 100% |
| 6 | Lütkepohl, H., & Xu, F (2012) The role of the log transformation in forecasting economic variables | 0.405 | 1 | 1 | 100% |
| 7 | Abdul Azees, S. A., & Sasikumar, R (2019) Comparison study on exponential smoothing and arima model for the fuel price | 0.405 | 1 | 1 | 100% |
| 8 | Aldy, J. E., Kotchen, M. J., Stavins, R. N., & Stock, J. H (2021) Keep climate policy focused on the social cost of carbon | 0.405 | 1 | 1 | 100% |
| 9 | Anthoff, D., & Tol, R. S (2013) The uncertainty about the social cost of carbon: A decomposition analysis using fund | 0.405 | 1 | 1 | 100% |
| 10 | Berrisch, J., & Ziel, F (2022) Distributional modeling and forecasting of natural gas prices self | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 27 scored citations.