On the modeling of CO2 EUA and CER prices of EU-ETS for the 2008–2012 period

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dc.citation.epage395en_US
dc.citation.issueNumber4en_US
dc.citation.spage375en_US
dc.citation.volumeNumber32en_US
dc.contributor.authorGürler, Ü.en_US
dc.contributor.authorYenigün, D.en_US
dc.contributor.authorÇağlar, M.en_US
dc.contributor.authorBerk, E.en_US
dc.date.accessioned2018-04-12T10:58:33Z
dc.date.available2018-04-12T10:58:33Z
dc.date.issued2016en_US
dc.departmentDepartment of Industrial Engineeringen_US
dc.description.abstractIncreased 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.en_US
dc.identifier.doi10.1002/asmb.2154en_US
dc.identifier.eissn1526-4025
dc.identifier.issn1524-1904
dc.identifier.urihttp://hdl.handle.net/11693/36963en_US
dc.language.isoEnglishen_US
dc.publisherJohn Wiley and Sonsen_US
dc.relation.isversionofhttp://dx.doi.org/10.1002/asmb.2154en_US
dc.source.titleApplied Stochastic Models in Business and Industryen_US
dc.subjectARMA–GARCH modelsen_US
dc.subjectCERen_US
dc.subjectCO2 carbon marketen_US
dc.subjectEU-ETSen_US
dc.subjectEUAen_US
dc.subjectFractional Brownian motionen_US
dc.subjectKyoto Protocolen_US
dc.subjectBrownian movementen_US
dc.subjectCarbon dioxideen_US
dc.subjectCostsen_US
dc.subjectEmission controlen_US
dc.subjectEnvironmental regulationsen_US
dc.subjectFossil fuelsen_US
dc.subjectGas emissionsen_US
dc.subjectGlobal warmingen_US
dc.subjectGreenhouse gasesen_US
dc.subjectIndustrial emissionsen_US
dc.subjectStochastic modelsen_US
dc.subjectStochastic systemsen_US
dc.subjectCarbon marketsen_US
dc.subjectInternational lawen_US
dc.subjectCO2 carbon marketen_US
dc.titleOn the modeling of CO2 EUA and CER prices of EU-ETS for the 2008–2012 perioden_US
dc.typeArticleen_US
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