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dc.contributor.authorChevallier, Julien
dc.date.accessioned2010-11-18T11:22:04Z
dc.date.available2010-11-18T11:22:04Z
dc.date.issued2011
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5110
dc.descriptionCet article est accompagné en fichiers attachés par une annexe, un fichier de données brutes, un fichier de code.en
dc.language.isoenen
dc.subjectImplied volatilityen
dc.subjectEGARCHen
dc.subjectInstability testen
dc.subjectCarbon priceen
dc.subjectEU ETSen
dc.subjectRealized volatilityen
dc.subject.ddc332en
dc.subject.classificationjelQ5en
dc.subject.classificationjelG1en
dc.subject.classificationjelC1en
dc.titleDetecting instability in the volatility of carbon pricesen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis article investigates the presence of outliers in the volatility of carbon prices. We compute three different measures of volatility for European Union Allowances, based on daily data (EGARCH model), option prices (implied volatility), and intraday data (realized volatility). Based on the methodology developed by Zeileis et al. (2003) and Zeileis (2006), we detect instability in the volatility of carbon prices based on two kinds of tests: retrospective tests (OLS-/Recursive-based CUSUM processes, F-statistics, and residual sum of squares), and forward-looking tests (by monitoring structural changes recursively or with moving estimates). We show evidence of strong shifts mainly for the EGARCH and IV models during the time period. Overall, we suggest that yearly compliance events, and growing uncertainties in post-Kyoto international agreements, may explain the instability in the volatility of carbon prices.en
dc.relation.isversionofjnlnameEnergy Economics
dc.relation.isversionofjnlvol33
dc.relation.isversionofjnlissue1
dc.relation.isversionofjnldate2011
dc.relation.isversionofjnlpages99-110
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.eneco.2010.09.006en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen


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