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Dynamic Econometric Models

Regime-dependent Assessment of Risk Concerning the International Aviation Inclusion Into the EU ETS
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Regime-dependent Assessment of Risk Concerning the International Aviation Inclusion Into the EU ETS

Authors

  • Aneta Włodarczyk Częstochowa University of Technology

DOI:

https://doi.org/10.12775/DEM.2017.008

Keywords

European Union Aviation Allowances, EU Emission Trading Scheme, Markov-switching model, risk

Abstract

In this article the European Union Aviation Allowances (EUAA) price risk, associated with the activity of aircraft operators within the European Economic Area (EEA), has been evaluated across the low and high volatility periods occurring on the carbon permits market. It is found that Markov-switching heteroscedasticity models distinguish well between two volatility regimes, as well as three volatility regimes on the EUAA futures market, and that the assessments of EUAA price risk are clearly different in the regimes. These findings may be explained by the European Union Emission Trading Scheme (EU ETS) design and the changes in both the EU climate policy rules and global regulations in the scope of CO2 emissions by international aviation.

References

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Dynamic Econometric Models

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Published

2017-12-29

How to Cite

1.
WŁODARCZYK, Aneta. Regime-dependent Assessment of Risk Concerning the International Aviation Inclusion Into the EU ETS. Dynamic Econometric Models. Online. 29 December 2017. Vol. 17, no. 1, pp. 129-145. [Accessed 6 July 2025]. DOI 10.12775/DEM.2017.008.
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Vol. 17 (2017)

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The journal provides an Open Access to its content based on the non-exclusive licence Creative Commons (CC BY-ND 4.0).

To enable the publisher to disseminate the author's work to the fullest extent, the author must agrees to the terms and conditions of the License Agreement with Nicolaus Copernicus University.

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