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Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/22714
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dc.contributor.authorViteva, Svetlanaen_UK
dc.contributor.authorVeld-Merkoulova, Yuliaen_UK
dc.contributor.authorCampbell, Kevinen_UK
dc.date.accessioned2016-05-06T03:00:53Z-
dc.date.available2016-05-06T03:00:53Z-
dc.date.issued2014-09en_UK
dc.identifier.urihttp://hdl.handle.net/1893/22714-
dc.description.abstractThis 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.en_UK
dc.language.isoenen_UK
dc.publisherElsevieren_UK
dc.relationViteva S, Veld-Merkoulova Y & Campbell K (2014) The forecasting accuracy of implied volatility from ECX carbon options. Energy Economics, 45, pp. 475-484. https://doi.org/10.1016/j.eneco.2014.08.005en_UK
dc.rightsThe 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.en_UK
dc.rights.urihttp://www.rioxx.net/licenses/under-embargo-all-rights-reserveden_UK
dc.subjectCarbon optionsen_UK
dc.subjectImplied volatilityen_UK
dc.subjectVolatility forecastingen_UK
dc.subjectEU Emissions Trading Schemeen_UK
dc.titleThe forecasting accuracy of implied volatility from ECX carbon optionsen_UK
dc.typeJournal Articleen_UK
dc.rights.embargodate2999-12-13en_UK
dc.rights.embargoreason[Viteva et al_Energy Economics_2014.pdf] The publisher does not allow this work to be made publicly available in this Repository therefore there is an embargo on the full text of the work.en_UK
dc.identifier.doi10.1016/j.eneco.2014.08.005en_UK
dc.citation.jtitleEnergy Economicsen_UK
dc.citation.issn0140-9883en_UK
dc.citation.volume45en_UK
dc.citation.spage475en_UK
dc.citation.epage484en_UK
dc.citation.publicationstatusPublisheden_UK
dc.citation.peerreviewedRefereeden_UK
dc.type.statusVoR - Version of Recorden_UK
dc.author.emailkevin.campbell@stir.ac.uken_UK
dc.citation.date12/08/2014en_UK
dc.contributor.affiliationBaillie Gifford and Co Edinburghen_UK
dc.contributor.affiliationMonash Universityen_UK
dc.contributor.affiliationAccounting & Financeen_UK
dc.identifier.isiWOS:000343613500044en_UK
dc.identifier.scopusid2-s2.0-84907689703en_UK
dc.identifier.wtid580809en_UK
dc.contributor.orcid0000-0003-4239-8590en_UK
dc.date.accepted2014-08-02en_UK
dcterms.dateAccepted2014-08-02en_UK
dc.date.filedepositdate2016-01-13en_UK
rioxxterms.apcnot requireden_UK
rioxxterms.typeJournal Article/Reviewen_UK
rioxxterms.versionVoRen_UK
local.rioxx.authorViteva, Svetlana|en_UK
local.rioxx.authorVeld-Merkoulova, Yulia|en_UK
local.rioxx.authorCampbell, Kevin|0000-0003-4239-8590en_UK
local.rioxx.projectInternal Project|University of Stirling|https://isni.org/isni/0000000122484331en_UK
local.rioxx.freetoreaddate2999-12-13en_UK
local.rioxx.licencehttp://www.rioxx.net/licenses/under-embargo-all-rights-reserved||en_UK
local.rioxx.filenameViteva et al_Energy Economics_2014.pdfen_UK
local.rioxx.filecount1en_UK
local.rioxx.source0140-9883en_UK
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