Browsing by Author Galán-Valdivieso, Federico

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  • Authors: Villar-Rubio, Elena; Huete-Morales, María-Dolores; Galán-Valdivieso, Federico;  Advisor: -;  Co-Author: - (2023)

    The growing interest and direct impact of carbon trading in the economy have drawn an increasing attention to the evolution of the price of CO2 allowances (European Union Allowances, EUAs) under the European Union Emissions Trading Scheme (EU ETS). As a novel financial market, the dynamic analysis of its volatility is essential for policymakers to assess market efficiency and for investors to carry out an adequate risk management on carbon emission rights. In this research, the main autoregressive conditional heteroskedasticity (ARCH) models were applied to evaluate and analyze the volatility of daily data of the European carbon future prices, focusing on the last finished phase of ma...