Empirical Evidence on Time-Varying Hedging Effectiveness of Emissions Allowances under Departures...
Under departures from the cost-of-carry theory, traded spot prices and conditional volatility disturbed from futures market havesignificant impacts on futures price of emissions allowances, and then we propose time-varying hedge ratios and hedging effectiveness estimation using ECM-GARCHmodel. Ou...
2014-03-01|