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Applications of Long-Memory and Structure Breaks for Carbon Indexes

Author

Listed:
  • Do Thi Van Trang

    (Postgraduate Faculty, Banking Academy, Hanoi, Vietnam)

  • Jo-Hui Chen

    (Department of Finance, Chung Yuan Christian University, Chung-Li, Taiwan)

Abstract

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.

Suggested Citation

  • Do Thi Van Trang & Jo-Hui Chen, 2023. "Applications of Long-Memory and Structure Breaks for Carbon Indexes," International Journal of Energy Economics and Policy, Econjournals, vol. 13(3), pages 579-585, May.
    • Handle: RePEc:eco:journ2:2023-03-64
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    References listed on IDEAS

    as
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    2. Ahonen, Elena & Corbet, Shaen & Goodell, John W. & Günay, Samet & Larkin, Charles, 2022. "Are carbon futures prices stable? New evidence during negative oil," Finance Research Letters, Elsevier, vol. 47(PB).
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Carbon index; ARFIMA-FIGARCH models; Structure break; ICSS algorithm;
    All these keywords.

    JEL classification:

    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
    • Q53 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Air Pollution; Water Pollution; Noise; Hazardous Waste; Solid Waste; Recycling
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth

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