Balcılar, Mehmet; Demirer, Rıza; Hammoudeh, Shawkat; … - Institut de Préparation à l'Administration et à la … - 2014
This study examines the risk spillovers between energy futures prices and Europe-based carbon futures contracts. We use a Markov regime-switching dynamic correlation, generalized autoregressive conditional heteroscedasticity (MSDCC- GARCH) model in order to capture the time variations and...