Convenience Yields for Co2 Emission Allowance Futures Contracts
نویسندگان
چکیده
منابع مشابه
Convenience Yields and Options Value of Exchanging different- maturity Futures Contracts Implied from Emissions Allowances Futures Market
Our results find that futures contracts with different maturities for emissions allowances exhibit a significant cointegration relationship by using two-step EG model, similar market information has a convergent effect on prices spreads of futures contracts with different maturities. Convenience yields implied from the futures markets exhibit a significant options property. Convenience yields a...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2006
ISSN: 1556-5068
DOI: 10.2139/ssrn.2894390