Downside risks in EU carbon and fossil fuel markets
Downside risks in EU carbon and fossil fuel markets
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DOI：
10.1016/j.matcom.2014.12.001
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发表时间：
2015-05
期刊：
影响因子：
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通讯作者：
J. Reboredo;Mikel Ugando
中科院分区：
文献类型：
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作者：
J. Reboredo;Mikel Ugando
欧洲联盟碳市场正在迅速发展，其与化石燃料市场的相互依存关系对能源投资者越来越重要。本文利用指数广义自回归条件异方差模型、极值理论和Copula函数，通过传统的风险价值和期望缺口度量方法，对下行风险进行了评估。2008年1月至2012年10月的每日数据的经验证据表明，碳市场的下行风险大于石油市场，但小于天然气市场。Copula分析提供了碳和石油市场之间正的平均依赖和极端对称的市场独立性，以及碳和天然气市场之间的平均和极端独立性的证据。这些结果对由欧盟津贴和化石燃料组成的投资组合的影响表明存在下行风险收益。因此，碳市场在风险管理方面对投资者来说是一个有吸引力的市场。
The European Union carbon market is undergoing rapid development and its interdependence with fossil fuel markets is increasingly important for energy investors. In this study, exponential general autoregressive conditional heteroskedastic models, extreme value theory and copulas are used to evaluate downside risk through the traditional value-at-risk and expected shortfall measurements. Empirical evidence for daily data from January 2008 to October 2012 indicates that the carbon market has more downside risks than the oil market but fewer than the gas market. Copula analysis provides evidence of positive average dependence and extreme symmetric market independence between the carbon and oil markets, and average and extreme independence between the carbon and gas markets. The implications of these results for portfolios consisting of European Union Allowances and fossil fuels point to the existence of downside risk gains. The carbon market is therefore an attractive market for investors in terms of risk management.