Research Article
Convenience Yield Value of International Emission Allowance Based on Call Options
Table 3
Regression results among convenience yield, spot price, futures price, and their volatility.
| | Coefficient | | | | |
| | 3.372** (1.027) | −1.179*** (−2.916) | −3.293** (−1.003) | 1.148*** (2.979) | | 3.887** (1.551) | −1.290*** (−3.881) | −3.791** (−1.518) | 1.243*** (3.998) | | 3.241** (2.069) | −1.552*** (−5.858) | −3.141** (−2.026) | 1.458*** (5.993) | | 2.969** (2.402) | −0.427** (−2.019) | −2.848** (−2.365) | 0.484** (2.404) | | 2.641*** (2.779) | −0.163** (−0.952) | −2.504*** (−2.733) | 0.239** (1.348) |
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Note: in Tables 2 and 3, **,***denote the 95%, and 99% confident levels; the number in the parentheses is -statistic values.
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