期刊
ECONOMIC MODELLING
卷 36, 期 -, 页码 229-234出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.econmod.2013.09.039
关键词
CO2 emission allowances; Oil prices; Volatility spillovers; Range volatility
类别
This paper examines the dynamics of volatility transmission between EU emission allowances (EUA) and oil markets using a range-based volatility measure. We propose a multivariate conditional autoregressive range model with bivariate lognormal distribution to capture volatility dynamics and volatility spillovers between oil and EUA markets. Our findings for Phase II of the European Union Emissions Trading Scheme point to the existence of volatility dynamics and leverage effects and to no significant volatility spillovers between these markets. These results remained robust to other volatility measures and model specifications. (C) 2013 Elsevier B.V. All rights reserved.
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