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dc.contributor.authorWinsnes, Nikolai Albert Gabriel Schwalenstöcker
dc.date.accessioned2023-12-15T13:01:16Z
dc.date.available2023-12-15T13:01:16Z
dc.date.issued2023
dc.identifier.urihttps://hdl.handle.net/11250/3107808
dc.descriptionMasteroppgave(MSc) in Master of Science in Sustainable Finance, Handelshøyskolen BI, 2023en_US
dc.description.abstractThis 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.isoengen_US
dc.publisherHandelshøyskolen BIen_US
dc.subjectsustainable financeen_US
dc.titleThe Trading Potential of Cointegration: Taking Advantage of the Cointegration of Emission Allowances and Carbon-Intensive Energy Commodities.en_US
dc.typeMaster thesisen_US


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