Production in Industry and Prices of Emission Allowances' predictability
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86094458" target="_blank" >RIV/61989100:27510/15:86094458 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Production in Industry and Prices of Emission Allowances' predictability
Original language description
Emissions trading became the crucial institutional factor for industrial companies in the European Union trying to reduce the CO2 emissions released in accordance with the Kyoto protocol. The key factor of the European emissions trading system (EU ETS) is an emission price since the system was built as a cap-and-trade system. An ability to forecast or at least to understand the development of emission prices is an effort of both industrial companies and brokers. In this paper, we analyse the relationship between production in industry of the Czech Republic and prices of emission allowances. We assume that production in industry contain forward-looking information and increase in industrial activity (production) would imply increase in volatility of prices of emission allowances. For this purpose, we employ ordinary and asymmetric GARCH-X models, i.e. GARCH models with covariate as explanatory variable.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AE - Management, administration and clerical work
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Strategic Management and its Support by Information Systems 2015 : proceedings of the 11th international conference : May 21st-22nd, Uherské Hradiště, Czech Republic
ISBN
978-80-248-3741-3
ISSN
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e-ISSN
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Number of pages
8
Pages from-to
288-295
Publisher name
VŠB - Technical University of Ostrava
Place of publication
Ostrava
Event location
Uherské Hradiště
Event date
May 21, 2015
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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