In the Dynamic Conditional Correlation with Mixed Data Sampling (DCC-MIDAS) framework, we scrutinize the correlations between the macro-financial environment and CO2 emissions in the aftermath of the COVID-19 diffusion. The main original idea is that the economy’s lock-down will alleviate part...

Since the creation of the European Union Emissions Trading Scheme (EU ETS) in 2005, a burgeoning academic literature has emerged to identify the factors that shape the price of carbon, where one European Union Allowance is equal to one ton of CO2-equivalent emitted in the atmosphere. Thus, there...