A Comparison of Reduced-Form Permit Price Models and their Empirical Performances
Equilibrium models have been proposed in literature with the aim of describing the evolution of the price of emission permits. This paper derives _rst estimation methods for the calibration of three competing equilibrium models. Second, it demonstrates how their reduced-form versions are inter-relat...
| Main Authors: | , |
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| Format: | Working Paper |
| Language: | en_US |
| Published: |
MIT Center for Energy and Environmental Policy Research
2010
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| Online Access: | http://hdl.handle.net/1721.1/51716 |
| _version_ | 1826207424538738688 |
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| author | Taschini, Luca Grüll, Georg |
| author_facet | Taschini, Luca Grüll, Georg |
| author_sort | Taschini, Luca |
| collection | MIT |
| description | Equilibrium models have been proposed in literature with the aim of describing the evolution of the price of emission permits. This paper derives _rst estimation methods for the calibration of three competing equilibrium models. Second, it demonstrates how their reduced-form versions are inter-related. Third, by means of calibration to historical data, it is shown how these reduced-form models perform in the current price-evolution framework also with respect to standard continuous time stochastic models. |
| first_indexed | 2024-09-23T13:49:26Z |
| format | Working Paper |
| id | mit-1721.1/51716 |
| institution | Massachusetts Institute of Technology |
| language | en_US |
| last_indexed | 2024-09-23T13:49:26Z |
| publishDate | 2010 |
| publisher | MIT Center for Energy and Environmental Policy Research |
| record_format | dspace |
| spelling | mit-1721.1/517162019-04-10T13:13:05Z A Comparison of Reduced-Form Permit Price Models and their Empirical Performances Taschini, Luca Grüll, Georg Equilibrium models have been proposed in literature with the aim of describing the evolution of the price of emission permits. This paper derives _rst estimation methods for the calibration of three competing equilibrium models. Second, it demonstrates how their reduced-form versions are inter-related. Third, by means of calibration to historical data, it is shown how these reduced-form models perform in the current price-evolution framework also with respect to standard continuous time stochastic models. Massachusetts Institute of Technology. Center for Energy and Environmental Policy Research. 2010-02-11T18:01:17Z 2010-02-11T18:01:17Z 2009-09 Working Paper 2009-018 http://hdl.handle.net/1721.1/51716 en_US MIT-CEEPR (Series);2009-018 application/pdf MIT Center for Energy and Environmental Policy Research |
| spellingShingle | Taschini, Luca Grüll, Georg A Comparison of Reduced-Form Permit Price Models and their Empirical Performances |
| title | A Comparison of Reduced-Form Permit Price Models and their Empirical Performances |
| title_full | A Comparison of Reduced-Form Permit Price Models and their Empirical Performances |
| title_fullStr | A Comparison of Reduced-Form Permit Price Models and their Empirical Performances |
| title_full_unstemmed | A Comparison of Reduced-Form Permit Price Models and their Empirical Performances |
| title_short | A Comparison of Reduced-Form Permit Price Models and their Empirical Performances |
| title_sort | comparison of reduced form permit price models and their empirical performances |
| url | http://hdl.handle.net/1721.1/51716 |
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