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Volatility spillover and dynamic correlation between the carbon market and energy markets
Chen, Yufeng; Qu, Fang; Li, Wenqi; Chen, Minghui - In: Journal of business economics and management 20 (2019) 5, pp. 979-999
This paper studies the volatility spillover and dynamic correlation between EU emission allowance (EUA) prices and … for multi-phase analysis of EU ETS, yet only a little empirical evidence backing up the existence of volatility spillover … markets. The time-varying conditional correlation between EUA and each of energy prices is analyzed. The dynamic correlation …
Persistent link: https://www.econbiz.de/10012175985
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A study on the volatility spillovers, long memory effects and interactions between carbon and energy markets : the impacts of extreme weather
Liu, Hsiang-hsi; Chen, Yi-chun - In: Economic modelling 35 (2013), pp. 840-855
Persistent link: https://www.econbiz.de/10010338308
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Volatility spillover of energy markets into EUA markets under EU ETS : a multi-phase study
Dhamija, Ajay K.; Yadav, Surendra Singh; Jain, Pramod Kumar - In: Environmental economics and policy studies 20 (2018) 3, pp. 561-591
Persistent link: https://www.econbiz.de/10011891290
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Impact of allowance submissions in European carbon emission markets
Philip, Dennis; Shi, Yukun - In: International review of financial analysis 40 (2015), pp. 27-37
Persistent link: https://www.econbiz.de/10011475593
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Spillover effects among crude oil, carbon, and stock markets : evidence from nonparametric causality-in-quantiles tests
Ren, Xiaohang; Dou, Yue; Dong, Kangyin; Yan, Cheng - In: Applied economics 55 (2023) 38, pp. 4486-4509
Persistent link: https://www.econbiz.de/10014301253
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Time-varying asymmetric volatility spillovers among China’s carbon markets, new energy market and stock market under the shocks of major events
Wu, Xinyu; Jiang, Zhengting - In: Energy economics 126 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014483676
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Dynamic volatility spillover relationships between the Chinese carbon and international energy markets from extreme climate shocks
Chen, Zhang-HangJian; Zhao, Shou-Yu; Song, Huai-Bing; … - In: International review of economics & finance : IREF 92 (2024), pp. 626-645
Persistent link: https://www.econbiz.de/10014534941
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Volatility spillover across Chinese carbon markets : evidence from quantile connectedness method
Li, Zheng-Zheng; Li, Yameng; Huang, Chia-Yun; … - In: Energy economics 119 (2023), pp. 1-12
Persistent link: https://www.econbiz.de/10014280144
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Volatility spillovers between the oil market and the European Union carbon emission market
Reboredo, Juan Carlos - In: Economic modelling 36 (2014), pp. 229-234
Persistent link: https://www.econbiz.de/10010412356
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Risk transmission between old and new energy markets from a multi-scale perspective : the role of the EU emissions trading system
Jiang, Qichuan; Ma, Xuejiao - In: Applied economics 54 (2022) 26, pp. 2949-2968
Persistent link: https://www.econbiz.de/10013171173