On the Modeling of CO2 EUA and CER Prices of EU-ETS for the 2008-2012 Period

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dc.WoS.categoriesOperations Research & Management Science; Mathematics, Interdisciplinary Applications; Statistics & Probabilityen_US
dc.authorid0000-0001-9452-5251en_US
dc.contributor.authorYenigün, Cemal Deniz
dc.contributor.authorGürler, Ülkü
dc.contributor.authorÇağlar, Mine
dc.contributor.authorBerk, Emre
dc.date.accessioned2020-11-23T12:04:36Z
dc.date.available2020-11-23T12:04:36Z
dc.date.issued2016-07
dc.description.abstractAbstract Increased consumption of fossil fuels in industrial production has led to a significant elevation in the emission of greenhouse gases and to global warming. The most effective international action against global warming is the Kyoto Protocol, which aims to reduce carbon emissions to desired levels in a certain time span. Carbon trading is one of the mechanisms used to achieve the desired reductions. One of the most important implications of carbon trading for industrial systems is the risk of uncertainty about the prices of carbon allowance permits traded in the carbon markets. In this paper, we consider stochastic and time series modeling of carbon market prices and provide estimates of the model parameters involved, based on the European Union emissions trading scheme carbon allowances data obtained for 2008-2012 period. In particular, we consider fractional Brownian motion and autoregressive moving average-generalized autoregressive conditional heteroskedastic modeling of the European Union emissions trading scheme data and provide comparisons with benchmark models. Our analysis reveals evidence for structural changes in the underlying models in the span of the years 2008-2012. Data-driven methods for identifying possible change-points in the underlying models are employed, and a detailed analysis is provided. Our analysis indicated change-points in the European Union Allowance (EUA) prices in the first half of 2009 and in the second half of 2011, whereas in the Certified Emissions Reduction (CER) prices three change-points have appeared, in the first half of 2009, the middle of 2011, and in the second half of 2012. These change-points seem to parallel the global economic indicators as well. Copyright (c) 2016 John Wiley & Sons, Ltd.en_US
dc.fullTextLevelFull Texten_US
dc.identifier.doi10.1002/asmb.2154
dc.identifier.issn1526-4025
dc.identifier.issn1524-1904
dc.identifier.scopus2-s2.0-84954286960en_US
dc.identifier.urihttps://hdl.handle.net/11411/2699
dc.identifier.urihttps://doi.org/10.1002/asmb.2154
dc.identifier.wosWOS:000380899200001en_US
dc.identifier.wosqualityQ2en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.issue4en_US
dc.language.isoenen_US
dc.nationalInternationalen_US
dc.numberofauthors4en_US
dc.pages375-395en_US
dc.publisherWiley-Blackwellen_US
dc.relation.ispartofApplied Stochastic Models In Business And Industryen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectCO2 carbon marketen_US
dc.subjectKyoto Protocolen_US
dc.subjectARMA-GARCH modelsen_US
dc.subjectfractional Brownian motionen_US
dc.subjectEU-ETSen_US
dc.subjectCERen_US
dc.subjectEUAen_US
dc.titleOn the Modeling of CO2 EUA and CER Prices of EU-ETS for the 2008-2012 Period
dc.typeArticle
dc.volume32en_US

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