Related papers: Carbon Price Forecasting with Quantile Regression …
Carbon neutralization is an urgent task in society because of the global warming threat. And carbon trading is an essential market mechanics to solve carbon reduction targets. Macro carbon price prediction is vital in the useful management…
Leveraging a unique dataset of carbon futures option prices traded on the ICE market from December 2015 until December 2020, we present the results from an unprecedented calibration exercise. Within a multifactor stochastic volatility…
Prediction of stock prices plays a significant role in aiding the decision-making of investors. Considering its importance, a growing literature has emerged trying to forecast stock prices with improved accuracy. In this study, we introduce…
Putting a price on carbon -- with taxes or developing carbon markets -- is a widely used policy measure to achieve the target of net-zero emissions by 2050. This paper tackles the issue of producing point, direction-of-change, and density…
How should nations price carbon? This paper examines how the treatment of global inequality, captured by regional welfare weights, affects optimal carbon prices. I develop theory to identify the conditions under which accounting for…
Global warming is one of the main threats to the future of humanity and extensive emissions of greenhouse gases are found to be the main cause of global temperature rise as well as climate change. During the last decades international…
Carbon prices are one of the most prominent methods to reduce global greenhouse gas emissions and have been adopted by several countries around the world. However, regionally different carbon prices can lead to carbon leakage. We…
In recent years, the growing frequency and severity of natural disasters have increased the need for effective tools to manage catastrophe risk. Catastrophe (CAT) bonds allow the transfer of part of this risk to investors, offering an…
Electricity price signals in modern power systems exhibit complex dependence structures that render forecasting inherently challenging. Our analysis of real-world pricing signals from the California Independent System Operator (CAISO)…
The continuous rise in CO2 emission into the environment is one of the most crucial issues facing the whole world. Many countries are making crucial decisions to control their carbon footprints to escape some of their catastrophic outcomes.…
This paper develops a real-time forecasting framework for the monthly real prices of four key industrial metals -- aluminum, copper, nickel, and zinc -- whose demand is rising due to their widespread use in manufacturing and low-carbon…
Electricity price forecasts play a crucial role in making key business decisions within the electricity markets. A focal point in this domain are probabilistic predictions, which delineate future price values in a more comprehensive manner…
A meta-analysis of published estimates shows that the social cost of carbon has increased as knowledge about climate change accumulates. Correcting for inflation and emission year and controlling for the discount rate, kernel density…
In this paper we propose a new method for probabilistic forecasting of electricity prices. It is based on averaging point forecasts from different models combined with expectile regression. We show that deriving the predicted distribution…
The majority of estimates of the social cost of carbon use preference parameters calibrated to data for North America and Europe. We here use representative data for attitudes to time and risk across the world. The social cost of carbon is…
Accurate crude oil price prediction is crucial for financial decision-making. We propose a novel reservoir computing model for forecasting crude oil prices. It outperforms popular deep learning methods in most scenarios, as demonstrated…
There is great uncertainty about future climate conditions and the appropriate policies for managing interactions between the climate and the economy. We develop a multidimensional computational model to examine how uncertainties and risks…
The European Union Emissions Trading System (EU ETS) is a key policy tool for reducing greenhouse gas emissions and advancing toward a net-zero economy. Under this scheme, tradeable carbon credits, European Union Allowances (EUAs), are…
We present a new model for commodity pricing that enhances accuracy by integrating four distinct risk factors: spot price, stochastic volatility, convenience yield, and stochastic interest rates. While the influence of these four variables…
In the field of global energy and environment, crude oil is an important strategic resource, and its price fluctuation has a far-reaching impact on the global economy, financial market and the process of low-carbon development. In recent…