In this paper we model the long-run relationship between per capita CO2 and per capita income for the Spanish economy over the period 1857–2007. According to the Environmental Kuznets Curve (ECK) the relationship between the two variables has an inverted-U shape. However, previous studies for...

The effects of economic growth on the environment in Korea, for a given level of energy consumption, and fossil fuels and nuclear energy in electricity production, are examined in a dynamic cointegration framework. To that end, the autoregressive distributed lag (ARDL) approach is used. We find...

Using a long span of data in Spain, Esteve and Tamarit (2012b) reported evidence of a strong link between per capita income and per capita CO2. In this paper we extend their work, finding evidence of both non-linear cointegration and asymmetric adjustment using a novel approach due to Sephton...

The goals of this paper are to 1) simulate the ex-ante riskiness of purchasing a TCC, and 2) evaluate the efficiency of the TCC market in New York State to determine if there is evidence of under-pricing. Three VAR models are estimated using only market data available before the auction. This...

The literature on food–biofuel price volatility spillovers is growing. Published articles so far have widely ignored nonlinearities and the influence of exogenous variables on volatility patterns. This article allows for these issues when characterizing EU biodiesel industry price dynamics....

In this study, we empirically analyze the price discovery process in the futures and spot markets for crude oil, heating oil and natural gas using daily closing prices. We use two different information share measures that are based on the methods proposed by Gonzalo and Granger (1995) and Lien...

Electricity spot prices are characterized by sudden large movements, followed a few days later by an equally large movement in the opposite direction. These phenomena are called spikes (upward movements) and drops (downward movements). Recent research has suggested that the dynamics of the...

The paper explores whether the question of why some countries are able to implement more extensive reforms is closely related to the question of why some countries have better institutions than others. We analyze this question by using an empirical econometric model based on Poisson regression...

This paper differs from extant literature because it studies volatility co-movements with a multivariate orthogonalized HAR model, a flexible specification for the time series of realized volatility, which is able to identify short-, mid- and long-term spillover effects. We examine volatility...

Inspired by the increasing evidence of financialization/speculation in commodity pricing, this paper constitutes a first attempt to build an information diffusion-based asset pricing framework for the oil futures market. With gradual information dissemination, slowly decaying uncertainty about...