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The Return and Volatility Spillover between Carbon Futures Market and Global Financial, Energy and Commodity Futures Markets
Li, Ziran - 2015
investigates the return and volatility transmission between carbon futures price and a data set of 19 financial, energy and … strong. Despite that spillovers in different phases are different, volatility linkage between carbon futures markets and …
Persistent link: https://www.econbiz.de/10013021794
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Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models : evidence from the first commitment period (2008-2012)
Zeitlberger, Alexander C. M.; Brauneis, Alexander - In: Central European journal of operations research : CEJOR … 24 (2016) 1, pp. 149-176
Persistent link: https://www.econbiz.de/10011665786
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Volatility and the hedging effectiveness of China fuel oil futures
Chen, Wei; Ford, James L. - 2010
Persistent link: https://www.econbiz.de/10009374212
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Volatility Spillover from World Oil Spot Markets to Aggregate and Electricity Stock Index Returns in Turkey
Soytas, Ugur - 2020
This study examines the inter-temporal links between world oil prices, ISE 100 and ISE electricity index returns unadjusted and adjusted for market effects. The traditional approaches could not detect a causal relationship running from oil returns to any of the stock returns. However, when we...
Persistent link: https://www.econbiz.de/10012857517
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Modeling and analyzing the mean and volatility relationship between electricity price returns and fuel market returns
Wei, Ching Chun - In: International journal of economics and finance 8 (2016) 7, pp. 55-70
Persistent link: https://www.econbiz.de/10011522976
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Return spillover across the carbon market and financial markets : a quantile-based approach
Wen, Fenghua; Wang, Kangsheng; Zeng, Aiqing - In: Research in international business and finance 69 (2024), pp. 1-18
Persistent link: https://www.econbiz.de/10015052892
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Herding, information cascades and volatility spillovers in futures markets
McAleer, Michael; Radalj, Kim - 2013
Persistent link: https://www.econbiz.de/10009784945
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Return and volatility spillover effects in agricultural commodity markets
Bernhardt, Matthias - 2017
This paper provides insights into agricultural commodity markets in terms of return and volatility spillover effects … risk in spot return’s volatility and spot returns itself, respectively. During the study the VAR(1)-GARCH-ABEKK(1,1)-in … of return and volatility linkages between agricultural commodities. Based on the model results optimal dynamic portfolio …
Persistent link: https://www.econbiz.de/10011761782
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Hedging with Chinese aluminum futures : international evidence with return and volatility spillover indices under structural breaks
Lau, Chi Keung; Bilgin, Mehmet Huseyin - In: Emerging markets finance & trade : a journal of the … 49 (2013), pp. 37-48
Persistent link: https://www.econbiz.de/10009743748
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Carbon credit futures as an emerging asset : hedging, diversification and downside risks
Demiralay, Sercan; Gencer, Hatice Gaye; Bayraci, Selcuk - In: Energy economics 113 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013540541