Papers Submitted to WSEAS Conferences and WSEAS Journals: Wseas Transactions

Monday, 27 June 2011

Wseas Transactions

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The following information was submitted:

Transactions: WSEAS TRANSACTIONS ON BUSINESS AND ECONOMICS
Transactions ID Number: 53-793
Full Name: Kai Chang
Position: Doctor (Researcher)
Age: ON
Sex: Male
Address: Shenzhen Graduate School,Harbin Institute of Technology,Shenzhen city in Guangdong province, in China
Country: CHINA
Tel: 13642862766
Tel prefix: 0775-26033494
Fax: 0775-26033494
E-mail address: bluesky2101@163.com
Other E-mails: changkai1898@163.com
Title of the Paper: An N-factor affine term structure model for futures price of carbon emissions
Authors as they appear in the Paper: Kai Chang, Su-Sheng Wang, Min-Cheng Xu
Email addresses of all the authors: bluesky2101@163.com;wangsusheng@gmail.com;584163023@qq.com
Number of paper pages: 11
Abstract: In recent years, carbon emission futures are traded with ever-increasing liquid and potential market within the EU emissions trading scheme (EU ETS). This paper proposes futures price can be expressed multi-factor unobservable state variables, and then presents N-factor affine term structure model of EUA futures price. Based on the state space formulation for futures price, we implement the Kalman filter and maximum likelihood techniques to determine parameters value of the affine model. We find Futures price of EUA with the different delivery date are strongly similar time-varying trend in the whole sample period. Empirical results show all unobservable state variables follow significant mean reversion process, the estimated parameters of speed of mean-reversion, market risk premium, volatility and correlation among state variables are almost significant level. The results of MAE and RMSE indicate two- and three-factor model can perform better than the one-fac!
tor model, two- and three-factor model can more accurately describe the term structure of EUA futures price, however one-factor model can describe the similar trend of EUA futures price.
Keywords: carbon emissions; futures price; affine model; term structure; Kalman filter
EXTENSION of the file: .doc
Special (Invited) Session: Mathematical Modeling and Mathematical Finance
Organizer of the Session: no
How Did you learn about congress: futures pricing of carbon emissions
IP ADDRESS: 61.142.33.214

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