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Volatility spillovers between the oil market and the European Union carbon emission market

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  • Reboredo, Juan C.
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    Abstract

    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.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0264999313003994
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    Bibliographic Info

    Article provided by Elsevier in its journal Economic Modelling.

    Volume (Year): 36 (2014)
    Issue (Month): C ()
    Pages: 229-234

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    Handle: RePEc:eee:ecmode:v:36:y:2014:i:c:p:229-234

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    Web page: http://www.elsevier.com/locate/inca/30411

    Related research

    Keywords: CO2 emission allowances; Oil prices; Volatility spillovers; Range volatility;

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