J. Eber, D. Heath, P. Artzner, and F. Delbaen, Coherent measures of risk, 1998.

S. Truck and E. Benz, Modeling the price dynamics of co2 emission allowances, 2008.

O. E. Brandorff-nielsen, Processes of normal inverse Gaussian type, Finance and Stochastics, vol.2, issue.1, pp.41-68, 1998.
DOI : 10.1007/s007800050032

H. Liu, J. F. Jan, Y. P. Chang, and M. C. Hung, Testing symmetry of a nig distribution, Communications in StatisticsSimulation and Computation, vol.34, pp.851-862, 2005.

N. Markellos and G. Daskalakis, Are the european carbon markets efficient, Review of Futures Markets, vol.17, issue.2, pp.103-128, 2008.

R. Markellos, G. Daskalakis, and D. Psychoyios, Modelling co2 emission alloance prices and derivatives: Evidence from european trading scheme, Journal of Banking and Finance, 2009.

N. Laird, . D. Rubin, and A. Dempster, Maximum likelihood from incomplete data via the em algorithm, Journal of the Royal Statistiacal Society, vol.39, pp.1-38, 1977.

K. Prause and E. Eberlein, The generalized hyperbolic model: Fiancial derivatives and risk management, pp.300-325, 1998.

E. S. Schwartz, The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging, The Journal of Finance, vol.5, issue.3, pp.923-973, 1997.
DOI : 10.1111/j.1540-6261.1997.tb02721.x

J. D. Hamilton, A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle, Econometrica, vol.57, issue.2, pp.357-384, 1989.
DOI : 10.2307/1912559

R. Werner, A. Kalemanova, and B. Schmid, The normal inverse gaussian distribution for synthetic cdo pricing, Risklab Germany, 2005.

M. Roberts and C. Knittel, An empirical examination of restructured electricity prices, Energy Economics, vol.27, issue.5, pp.791-817, 2005.

L. Taschini and M. Paolella, An econometriv analyisis of emission trading allowances, Research ¨ papers 06-26, Swiww Finance Institute, 2006.

R. Engle, GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics, Journal of Economic Perspectives, vol.15, issue.4, pp.157-168, 2001.
DOI : 10.1257/jep.15.4.157

T. Bollerslev, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, vol.31, issue.3, pp.307-327, 1986.
DOI : 10.1016/0304-4076(86)90063-1

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=

M. Wagner-uhrig-homburg and M. , Futures price dynamics of co2 emission certificates -an empirical analysis, 2007.

W. Hu, Calibration of multivariate generalized hyperbolic distributions using the em algorithm , with applications in risk management, portfolio optimization and portfolio credit risk Book, 2005.