欧盟 EUA 和 sCER 碳期货市场的动态套利研究 (Dynamic arbitrage study on the EUA and sCER carbon markets)

This brief is submitted in the Chinese language. The full brief could be accessed through the below link. Your comments could be in either English or Chinese.

摘 要
欧盟碳排放交易体系(EU ETS)的碳排放配额(EUA)和清洁发展机制(CDM)下经核准的碳减排量二级市场(sCER)交 易已经成为国际典型碳期货市场。本文引入 GARCH 类模型研究它们之间的动态时变相关性,在此基础上考察各种套利策略的有效性。 结果表明,EUA 收益率和 sCER 收益率之间存在显著的时变相关性,而且,在样本区间内,除全球金融危机动荡期间之外,2009-2012 年大部分时期它们的相关程度保持在高位稳定水平。另外,基于 GARCH 类模型的套利策略虽然能够获取时变最优套利比率,但其有效 性未必总是优于静态的 OLS 模型。

https://sustainabledevelopment.un.org/content/documents/6122GSDR%20Brief%2041CN.pdf

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