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dc.contributor.authorFan, John Hua
dc.contributor.authorAkimov, Alexandr
dc.contributor.authorRoca, Eduardo
dc.date.accessioned2017-05-03T11:42:13Z
dc.date.available2017-05-03T11:42:13Z
dc.date.issued2013
dc.date.modified2013-08-20T00:51:21Z
dc.identifier.issn0959-6526
dc.identifier.doi10.1016/j.jclepro.2012.10.028
dc.identifier.urihttp://hdl.handle.net/10072/52681
dc.description.abstractFollowing the introduction of the European Union Emissions Trading Scheme in 2005, the size of the carbon market has been growing at a tremendous rate. To meet the emissions reduction targets, the regulated parties can choose to participate in the allowance-based market by purchasing the spot allowances. Commencing in 2008, the regulated parties are also allowed to purchase the offset credits to meet their allowance limit. Given the risky nature of the offset credits, this paper evaluates the hedging performance of dynamic hedge ratios for the carbon offset credit (certified emissions reduction) market in the EU-ETS. To the best of our knowledge, this paper is the first attempt to evaluate the hedging performance of dynamic and constant hedge ratios in the carbon offset credit market. Based on the variance reduction and utility improvement measurements, the findings generally support the use of static hedge ratios over the more sophisticated, dynamic hedge ratios.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.format.extent594881 bytes
dc.format.mimetypeapplication/pdf
dc.languageEnglish
dc.language.isoeng
dc.publisherElsevier
dc.publisher.placeNetherlands
dc.relation.ispartofstudentpublicationY
dc.relation.ispartofpagefrom254
dc.relation.ispartofpageto262
dc.relation.ispartofjournalJournal of Cleaner Production
dc.relation.ispartofvolume42
dc.rights.retentionY
dc.subject.fieldofresearchEnvironmental engineering
dc.subject.fieldofresearchManufacturing engineering
dc.subject.fieldofresearchFinance
dc.subject.fieldofresearchBuilt environment and design
dc.subject.fieldofresearchEngineering
dc.subject.fieldofresearchcode4011
dc.subject.fieldofresearchcode4014
dc.subject.fieldofresearchcode350202
dc.subject.fieldofresearchcode33
dc.subject.fieldofresearchcode40
dc.titleDynamic Hedge Ratio Estimations in the European Union emissions Offset Credit Market
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.rights.copyright© 2013 Elsevier. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
gro.date.issued2013
gro.hasfulltextFull Text
gro.griffith.authorFan, John H.
gro.griffith.authorAkimov, Alexandr


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