| dc.contributor.author | Winsnes, Nikolai Albert Gabriel Schwalenstöcker | |
| dc.date.accessioned | 2023-12-15T13:01:16Z | |
| dc.date.available | 2023-12-15T13:01:16Z | |
| dc.date.issued | 2023 | |
| dc.identifier.uri | https://hdl.handle.net/11250/3107808 | |
| dc.description | Masteroppgave(MSc) in Master of Science in Sustainable Finance, Handelshøyskolen BI, 2023 | en_US |
| dc.description.abstract | This thesis investigates the cointegration between the European Emission Allowances (EUA) and carbon-intensive energy commodities: coal, oil, and gas in the EU, the US, and Australia. We propose a directional trading strategy taking advantage of the cointegration between the assets, using the sign of EUA log returns as a signal for trading European Coal. The proposed directional trading strategy produced out-of-sample annualized returns of 112.4% and a Sharpe Ratio of 0.863, outperforming all benchmarks used in this thesis. | en_US |
| dc.language.iso | eng | en_US |
| dc.publisher | Handelshøyskolen BI | en_US |
| dc.subject | sustainable finance | en_US |
| dc.title | The Trading Potential of Cointegration: Taking Advantage of the Cointegration of Emission Allowances and Carbon-Intensive Energy Commodities. | en_US |
| dc.type | Master thesis | en_US |
