Fatemeh (MARJAN) Nazifi 34 th IAEE’s International Conference June 19-23, 2011 Stockholm, Sweden. Outline :. Introduction Econometric models Empirical findings Conclusions. Motivation:. The theoretical point of view:
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34th IAEE’s International Conference
June 19-23, 2011
The theoretical point of view:
The fact that fungible carbon products have different prices provides arbitrage opportunities. Although these opportunities should ensure the equality of prices, EUA prices exceed CER prices.
Purpose of the paper:
To analyse the process that describes the dynamic evolution of the price spread
Significance of the study:
Table 1: Cointegration tests
The Kalman Filter:
Testing the Law of One Price
Figure 2: Time-varying path of βt
Table 2: Kalman Filter estimations
Potential improvements may include providing greater:
Thank you!MarjanDepartment of EconomicsMacquarie University, SydneyAustralia