Long-range dependence in the carbon emission market

Tai, Terence,Leung Chong (2015) Long-range dependence in the carbon emission market. Labuan Bulletin of International Business and Finance (LBIBF), 13. ISSN 1674-7262

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Abstract

This paper investigates the long-range dependence of returns and the volatility of the carbon emission permits in the Chicago Climate Exchange. It is found that contracts with different vintages demonstrate significantly variant long memory properties. In particular, strong long memory is found for vintages from 2003 to 2006, while no evidence of long range dependence in the return series is found for vintage 2007 to vintage 2010.

Item Type: Article
Uncontrolled Keywords: Long Memory; Modified R/S Statistic; Carbon Emission Market
Subjects: Q Science > QE Geology
Depositing User: MDM FAUZIAH MATSIN
Date Deposited: 06 Feb 2017 05:14
Last Modified: 11 Oct 2017 03:42
URI: http://eprints.ums.edu.my/id/eprint/15839

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