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1、AnEconometricAnalysisofEmissionTradingAllowances∗MarcS.Paolellaa†LucaTaschinia‡aSwissBankingInstitute,UniversityofZurich,SwitzerlandJune2007AbstractTheintroductionofemissionpermitsfortheimplementationofenvironmentalpoliciesisobviouslymodifyingoperatingcostsofthoseindustrialsectorscovere
2、dbyprogramssuchastheKyotoprotocolortheEuropeanEmissionTradingScheme.Knowledgeofthestatisticaldistributionofemissiontradingallowances,andtheirforecastability,arecrucialinconstruct-ing,amongotherthings,purchasingandriskmanagementstrategiesinthecarbonconstrainedmarkets.Thispaperdevisesmode
3、lsfordealingwiththeuniquestylizedfactsofthedata,anddemonstratestheireffectivenessintermsofmodelfitandout-of-samplevalue-at-riskforecast-ing.Keywords:EnvironmentalFinance,GARCH,GreenhouseGases,MixtureModels,Value-at-Risk.JELClassifications:C16,C32,C51,C52,C53∗Partoftheresearchoftheauthorsha
4、sbeencarriedoutwithintheNationalCentreofCompetenceinResearch“FinancialValuationandRiskManagement”(NCCRFINRISK),whichisaresearchprogramsupportedbytheSwissNationalScienceFoundation.ThedatabaseonsulfurdioxidespotpricesfromtheChicagoClimateExchangeisgratefullyacknowledged.Theauthorswouldlik
5、etothankPaulineBarrieu,MarcChesney,GeorgeDaskalakis,Jos´eDiasCurto,MiguelFerreira,LuisFilipeMartins,HelyetteGeman,DanielGiamouridis,RajnaGibson,WolfgangH¨ardle,GikasHardouvelis,SebastianKring,RaphaelMarkellos,NikitasPittis,DimitrisPsychoyios,CostasVorlow,AlexanderWagner,MichaelWagnerand
6、Svetlozar(Zari)Rachevfortheirhelpfuldiscussionsandcomments.WewishtoalsothankSven-C.Steudefortheprogrammingassistanceonsomeofthemodelsusedinthepaper,andtheexcellentcritiqueandsuggestionsfromtwoanonymousreferees.†paolella@isb.unizh.ch‡taschini@isb.unizh.ch1IntroductionInthefinancialworld,i
7、nnovativeproductshavebeendevelopedtodealspecificallywithenviron-mentalproblems;seeTietenberg(2006)foranhistoricalaccount.Perhapsthebestknownofthenewfamilyofenvironmentalfinancialproductsareemissionsallowances.ThemostcelebratedexamplewascreatedbytheUnitedStates(U.S.)AcidRainProgra
