TY - JOUR T1 - Mean reversion of stochastic convenience yields for CO2 emissions allowances: Empirical evidence from the EU ETS JO - The Spanish Review of Financial Economics T2 - AU - Chang,Kai AU - Wang,Su Sheng AU - Peng,Ke SN - 21731268 M3 - 10.1016/j.srfe.2013.01.001 DO - 10.1016/j.srfe.2013.01.001 UR - https://www.elsevier.es/en-revista-the-spanish-review-financial-economics-332-articulo-mean-reversion-stochastic-convenience-yields-S2173126813000028 AB - This paper examines the mean-reversion property and volatility features of stochastic convenience yields for CO2 emissions allowances by using ADF, ECM-GARCH and ECM-TGARCH models. Empirical results show that the convenience yields for CO2 emissions allowances exhibit time-varying trends when different maturities are considered, and that convenience yields exhibit a linear mean-reverting process. We also find that the volatility of convenience yields exhibits a mean-reversion process and asymmetric leverage effect using ECM-GARCH (1,1) and ECM-TARCH (1,1) models. Unfavorable market information has a higher impact on this volatility than favorable market information, and unfavorable market information has a lower effect on the long-term volatility of convenience yields. ER -