Analysis of market dynamics in emissions trading systems: prices and volatility
Di Marco, Gianmarco (A.A. 2024/2025) Analysis of market dynamics in emissions trading systems: prices and volatility. Tesi di Laurea in Financial reporting and performance measurement, Luiss Guido Carli, relatore Lucia Pierini, pp. 170. [Master's Degree Thesis]
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Abstract/Index
What are ETS markets? How does ETS markets works? Price and volatility in the ETS markets. Research objectives and methodological approach. Market selection: criteria and motivation. Literature review. Determinants of price and volatility in the ETS Market. Econometric models in the literature. Structural differences between ETS markets. Methodology. European emission trading system (EU-ETS). California cap-and-trade program (CA CaT). Korea emission trading system (K-ETS). Dataset creation. ETS price. Drivers. Dataset preparation. Models. Empirical analysis. Explanation of the chapter setting. Price determinants analysis. Block 2 analysis of non-stationary variables. Volatility analysis. Price determinants: linear approach, non-linear approach, machine learning approach. Volatility determinants: GARCH-X model. Implications for the literature and policymakers.
References
Bibliografia: pp. 162-165.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Management, English language (LM-77) |
| Chair: | Financial reporting and performance measurement |
| Thesis Supervisor: | Pierini, Lucia |
| Thesis Co-Supervisor: | Paolone, Francesco |
| Academic Year: | 2024/2025 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 16 Sep 2025 07:47 |
| Last Modified: | 16 Sep 2025 07:47 |
| URI: | https://tesi.luiss.it/id/eprint/43170 |
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