Forecasting Strategies for Carbon Allowances Prices: From Classic Arbitrage Pricing Theory to Switching Regimes

Dominique Guegan (), Marius-Cristian Frunza () and Antonin Lassoudière ()
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Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement
Marius-Cristian Frunza: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, Sagacarbon - Subsidiary of Caisse des Dépôts et Consignations
Antonin Lassoudière: Sagacarbon - Sagacarbon SA

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Keywords: CO2; pricing; Markov; Switching (search for similar items in EconPapers)
Date: 2010-09
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Published in International Review of Applied Financial Issues and Economics, 2010, 2 (3), pp.576-596

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00645890

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