Volatility spillover and dynamic correlation between the carbon market and energy markets

Volatility spillover and dynamic correlation between the carbon market and energy markets

This paper studies the volatility spillover and dynamic correlation between EU emission allowance (EUA) prices and energy prices by considering three energy commodities, including oil, gas, and coal. The asymmetric BEKK model is employed for multi-phase analysis of EU ETS, yet only a little empirica...

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Bibliographic Details
Main Authors: Yufeng Chen, Fang Qu, Wenqi Li, Minghui Chen
Format: Article
Language:English
Published: Vilnius Gediminas Technical University 2019-08-01
Series:Journal of Business Economics and Management
Subjects:
volatility spillover
EU ETS
EUA
energy price
asymmetric BEKK model
dynamic correlation
Online Access:https://journals.vgtu.lt/index.php/JBEM/article/view/10762

Internet

https://journals.vgtu.lt/index.php/JBEM/article/view/10762

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