Assessing Rollover Criteria for EUAs and CERs
This study discusses how to roll over European Union Allowances (EUAs) and Certified Emissions Reduction (CERs) futures contracts with different maturities. The aim is to elucidate whether or not the choice of rollover date is important when constructing EUAs and CERs continuous futures time seri...
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doaj-38fd27e944464f499060671d4e8a73df2020-11-25T01:56:03ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382014-09-01436696761032Assessing Rollover Criteria for EUAs and CERsOscar CarchanoVicente MedinaAngel PardoThis study discusses how to roll over European Union Allowances (EUAs) and Certified Emissions Reduction (CERs) futures contracts with different maturities. The aim is to elucidate whether or not the choice of rollover date is important when constructing EUAs and CERs continuous futures time series. We have applied five different methodologies to link the series and our findings indicate that return distributions do not significantly differ for the different criteria. This result has direct practical implications in the field of applied econometrics of carbon markets given that we prove that the selection of the simple last-day rollover methodology criterion has no downside not only in terms of returns distribution but also with respect to liquidity levels.https://dergipark.org.tr/tr/pub/ijefi/issue/31963/352037?publisher=http-www-cag-edu-tr-ilhan-ozturkrollover date european union allowances (euas) certified emission reductions (cers) |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Oscar Carchano Vicente Medina Angel Pardo |
spellingShingle |
Oscar Carchano Vicente Medina Angel Pardo Assessing Rollover Criteria for EUAs and CERs International Journal of Economics and Financial Issues rollover date european union allowances (euas) certified emission reductions (cers) |
author_facet |
Oscar Carchano Vicente Medina Angel Pardo |
author_sort |
Oscar Carchano |
title |
Assessing Rollover Criteria for EUAs and CERs |
title_short |
Assessing Rollover Criteria for EUAs and CERs |
title_full |
Assessing Rollover Criteria for EUAs and CERs |
title_fullStr |
Assessing Rollover Criteria for EUAs and CERs |
title_full_unstemmed |
Assessing Rollover Criteria for EUAs and CERs |
title_sort |
assessing rollover criteria for euas and cers |
publisher |
EconJournals |
series |
International Journal of Economics and Financial Issues |
issn |
2146-4138 |
publishDate |
2014-09-01 |
description |
This study discusses how to roll over European Union Allowances (EUAs) and
Certified Emissions Reduction (CERs) futures contracts with different maturities. The aim is to
elucidate whether or not the choice of rollover date is important when constructing EUAs and CERs
continuous futures time series. We have applied five different methodologies to link the series and our
findings indicate that return distributions do not significantly differ for the different criteria. This
result has direct practical implications in the field of applied econometrics of carbon markets given
that we prove that the selection of the simple last-day rollover methodology criterion has no downside
not only in terms of returns distribution but also with respect to liquidity levels. |
topic |
rollover date european union allowances (euas) certified emission reductions (cers) |
url |
https://dergipark.org.tr/tr/pub/ijefi/issue/31963/352037?publisher=http-www-cag-edu-tr-ilhan-ozturk |
work_keys_str_mv |
AT oscarcarchano assessingrollovercriteriaforeuasandcers AT vicentemedina assessingrollovercriteriaforeuasandcers AT angelpardo assessingrollovercriteriaforeuasandcers |
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1724981939083935744 |