Time-varying risk aversion and dynamic dependence between crude oil futures and European Union allowance futures markets
In this paper, we propose the copula-mixed frequency data sampling model incorporating time-varying risk aversion (RA) (copula-MIDAS-RA model) to investigate the impact of time-varying RA on the dynamic dependence between crude oil futures and European Union allowance (EUA) futures markets. An empir...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Frontiers Media S.A.
2023-05-01
|
| Series: | Frontiers in Environmental Science |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/articles/10.3389/fenvs.2023.1152761/full |