Applications of Long-Memory and Structure Breaks for Carbon Indexes
This paper aims to investigatethe long-memory properties of four carbon indexes by utilizing the autoregressive frictionally integrated moving average–fractionally integrated general autoregressive conditional heteroskedasticity models. First, this study discovered a significant long-memory effect...
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| Format: | Article |
| Language: | English |
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EconJournals
2023-05-01
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| Series: | International Journal of Energy Economics and Policy |
| Subjects: | |
| Online Access: | https://econjournals.com/index.php/ijeep/article/view/14289 |
| _version_ | 1797825287631667200 |
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| author | Do Thi Van Trang Jo-Hui Chen |
| author_facet | Do Thi Van Trang Jo-Hui Chen |
| author_sort | Do Thi Van Trang |
| collection | DOAJ |
| description |
This paper aims to investigatethe long-memory properties of four carbon indexes by utilizing the autoregressive frictionally integrated moving average–fractionally integrated general autoregressive conditional heteroskedasticity models. First, this study discovered a significant long-memory effect for two carbon indexes such as CCX and JOI, whereas others like CER and EUA possess intermediate memory in the returns. Second, the multiple structure breaks in the four carbon indexes were examined using the iterated cumulative sum of squares algorithm. Evidence shows that the sudden shifts are mainly attributed to macroeconomic factors, energy dynamics, and political policies.
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| first_indexed | 2024-03-13T10:51:48Z |
| format | Article |
| id | doaj.art-fac65c756a4a458f8d88da269a84d3c7 |
| institution | Directory Open Access Journal |
| issn | 2146-4553 |
| language | English |
| last_indexed | 2024-03-13T10:51:48Z |
| publishDate | 2023-05-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Energy Economics and Policy |
| spelling | doaj.art-fac65c756a4a458f8d88da269a84d3c72023-05-17T15:36:06ZengEconJournalsInternational Journal of Energy Economics and Policy2146-45532023-05-0113310.32479/ijeep.14289Applications of Long-Memory and Structure Breaks for Carbon IndexesDo Thi Van Trang0Jo-Hui Chen1Postgraduate Faculty, Banking Academy, Hanoi, VietnamDepartment of Finance, Chung Yuan Christian University, Chung-Li, Taiwan This paper aims to investigatethe long-memory properties of four carbon indexes by utilizing the autoregressive frictionally integrated moving average–fractionally integrated general autoregressive conditional heteroskedasticity models. First, this study discovered a significant long-memory effect for two carbon indexes such as CCX and JOI, whereas others like CER and EUA possess intermediate memory in the returns. Second, the multiple structure breaks in the four carbon indexes were examined using the iterated cumulative sum of squares algorithm. Evidence shows that the sudden shifts are mainly attributed to macroeconomic factors, energy dynamics, and political policies. https://econjournals.com/index.php/ijeep/article/view/14289Carbon index, ARFIMA-FIGARCH models, Structure break, ICSS algorithm |
| spellingShingle | Do Thi Van Trang Jo-Hui Chen Applications of Long-Memory and Structure Breaks for Carbon Indexes International Journal of Energy Economics and Policy Carbon index, ARFIMA-FIGARCH models, Structure break, ICSS algorithm |
| title | Applications of Long-Memory and Structure Breaks for Carbon Indexes |
| title_full | Applications of Long-Memory and Structure Breaks for Carbon Indexes |
| title_fullStr | Applications of Long-Memory and Structure Breaks for Carbon Indexes |
| title_full_unstemmed | Applications of Long-Memory and Structure Breaks for Carbon Indexes |
| title_short | Applications of Long-Memory and Structure Breaks for Carbon Indexes |
| title_sort | applications of long memory and structure breaks for carbon indexes |
| topic | Carbon index, ARFIMA-FIGARCH models, Structure break, ICSS algorithm |
| url | https://econjournals.com/index.php/ijeep/article/view/14289 |
| work_keys_str_mv | AT dothivantrang applicationsoflongmemoryandstructurebreaksforcarbonindexes AT johuichen applicationsoflongmemoryandstructurebreaksforcarbonindexes |