Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/22714
Appears in Collections:Accounting and Finance Journal Articles
Peer Review Status: Refereed
Title: The forecasting accuracy of implied volatility from ECX carbon options
Authors: Viteva, Svetlana
Veld-Merkoulova, Yulia
Campbell, Kevin
Contact Email: kevin.campbell@stir.ac.uk
Keywords: Carbon options
Implied volatility
Volatility forecasting
EU Emissions Trading Scheme
Issue Date: Sep-2014
Publisher: Elsevier
Citation: Viteva S, Veld-Merkoulova Y & Campbell K (2014) The forecasting accuracy of implied volatility from ECX carbon options, Energy Economics, 45, pp. 475-484.
Abstract: This study analyzes the forecasting accuracy of the implied volatility of options on futures contracts for the delivery of CO2emission allowances (carbon options) traded on the European Climate Exchange. We demonstrate that option implied volatility is highly informative about the variance of returns realized over the remaining life of the options. It is also directionally accurate in predicting future volatility changes. However, we also find that implied volatility of carbon options is biased, especially for periods of time which do not coincide with the remaining life of the option. This suggests that the market has yet to fully mature.
Type: Journal Article
URI: http://hdl.handle.net/1893/22714
DOI Link: http://dx.doi.org/10.1016/j.eneco.2014.08.005
Rights: The publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.
Affiliation: Baillie Gifford and Co Edinburgh
Monash University
Accounting and Finance

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