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

  • Reboredo, Juan C.
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    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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    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
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30411

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