Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS
Author
Abstract
Suggested Citation
DOI: 10.1016/j.enpol.2021.112428
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Anke, Carl-Philipp & Hobbie, Hannes & Schreiber, Steffi & Möst, Dominik, 2020. "Coal phase-outs and carbon prices: Interactions between EU emission trading and national carbon mitigation policies," Energy Policy, Elsevier, vol. 144(C).
- Zhou, Bo & Zhang, Cheng & Wang, Qunwei & Zhou, Dequn, 2020. "Does emission trading lead to carbon leakage in China? Direction and channel identifications," Renewable and Sustainable Energy Reviews, Elsevier, vol. 132(C).
- Chaton, Corinne & Creti, Anna & Sanin, María-Eugenia, 2018.
"Assessing the implementation of the Market Stability Reserve,"
Energy Policy, Elsevier, vol. 118(C), pages 642-654.
- Corinne Chaton & Anna Creti & Maria-Eugenia Sanin, 2017. "Assessing the implementation of the Market Stability Reserve," Working Papers 1708, Chaire Economie du climat.
- Corinne Chaton & Anna Creti & Maria Eugénia Sanin, 2018. "Assessing the implementation of the Market Stability Reserve," Post-Print halshs-03983382, HAL.
- Corinne Chaton & Anna Creti & María-Eugenia Sanin, 2018. "Assessing the implementation of the Market Stability Reserve," Post-Print hal-02313830, HAL.
- Hintermann, Beat, 2010.
"Allowance price drivers in the first phase of the EU ETS,"
Journal of Environmental Economics and Management, Elsevier, vol. 59(1), pages 43-56, January.
- Beat Hintermann, 2009. "Allowance Price Drivers in the First Phase of the EU ETS," CEPE Working paper series 09-63, CEPE Center for Energy Policy and Economics, ETH Zurich.
- Marimoutou, Vêlayoudom & Soury, Manel, 2015. "Energy markets and CO2 emissions: Analysis by stochastic copula autoregressive model," Energy, Elsevier, vol. 88(C), pages 417-429.
- Bonato, Matteo & Gupta, Rangan & Lau, Chi Keung Marco & Wang, Shixuan, 2020.
"Moments-based spillovers across gold and oil markets,"
Energy Economics, Elsevier, vol. 89(C).
- Matteo Bonato & Rangan Gupta & Chi Keung Marco Lau & Shixuan Wang, 2019. "Moments-Based Spillovers across Gold and Oil Markets," Working Papers 201966, University of Pretoria, Department of Economics.
- repec:dau:papers:123456789/4222 is not listed on IDEAS
- Vêlayoudom Marimoutou & Manel Soury, 2015. "Energy markets and CO2 emissions: Analysis by stochastic copula autoregressive model," Post-Print hal-01456125, HAL.
- Keppler, Jan Horst & Mansanet-Bataller, Maria, 2010. "Causalities between CO2, electricity, and other energy variables during phase I and phase II of the EU ETS," Energy Policy, Elsevier, vol. 38(7), pages 3329-3341, July.
- Creti, Anna & Jouvet, Pierre-André & Mignon, Valérie, 2012.
"Carbon price drivers: Phase I versus Phase II equilibrium?,"
Energy Economics, Elsevier, vol. 34(1), pages 327-334.
- Anna Creti & Pierre-André Jouvet & Valérie Mignon, 2011. "Carbon Price Drivers: Phase I Versus Phase II Equilibrium?," Working Papers 2011-09, CEPII research center.
- Anna Creti & Pierre-André Jouvet & Valérie Mignon, 2012. "Carbon Price Drivers: Phase I versus Phase II Equilibrium?," Post-Print hal-01385813, HAL.
- Anna Creti & Pierre-André Jouvet & Valérie Mignon, 2011. "Carbon Price Drivers: Phase I versus Phase II Equilibrium?," Working Papers 1106, Chaire Economie du climat.
- Christoffersen, Peter & Fournier, Mathieu & Jacobs, Kris & Karoui, Mehdi, 2021.
"Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(1), pages 65-91, February.
- Peter Christoffersen & Mathieu Fournier & Kris Jacobs & Mehdi Karoui, 2015. "Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk," CREATES Research Papers 2015-54, Department of Economics and Business Economics, Aarhus University.
- Chevallier, Julien, 2011.
"Detecting instability in the volatility of carbon prices,"
Energy Economics, Elsevier, vol. 33(1), pages 99-110, January.
- Julien Chevallier, 2011. "Detecting Instability in the Volatility of Carbon Prices," Post-Print hal-00991957, HAL.
- Hammoudeh, Shawkat & Nguyen, Duc Khuong & Sousa, Ricardo M., 2014.
"What explain the short-term dynamics of the prices of CO2 emissions?,"
Energy Economics, Elsevier, vol. 46(C), pages 122-135.
- Shawkat Hammoudeh & Duc Khuong Nguyen & Ricardo M. Sousa, 2014. "What explains the short-term dynamics of the prices of CO2 emissions?," NIPE Working Papers 04/2014, NIPE - Universidade do Minho.
- Zhu, Bangzhu & Ye, Shunxin & Han, Dong & Wang, Ping & He, Kaijian & Wei, Yi-Ming & Xie, Rui, 2019. "A multiscale analysis for carbon price drivers," Energy Economics, Elsevier, vol. 78(C), pages 202-216.
- Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar, 2013.
"Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals,"
Energy Economics, Elsevier, vol. 40(C), pages 222-232.
- Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar, 2013. "Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals," ZEW Discussion Papers 13-001 [rev.], ZEW - Leibniz Centre for European Economic Research.
- Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar, 2013. "Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals," ZEW Discussion Papers 13-001, ZEW - Leibniz Centre for European Economic Research.
- Fernandez-Perez, Adrian & Frijns, Bart & Fuertes, Ana-Maria & Miffre, Joelle, 2018.
"The skewness of commodity futures returns,"
Journal of Banking & Finance, Elsevier, vol. 86(C), pages 143-158.
- Adrian Fernandez-Perez & Bart Frijns & Ana-Maria Fuertes & Joelle Miffre, 2018. "The skewness of commodity futures returns," Post-Print hal-01678744, HAL.
- Balcılar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2016.
"Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk,"
Energy Economics, Elsevier, vol. 54(C), pages 159-172.
- Mehmet Balcilar & Riza Demirer & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Risk Spillovers across the Energy and Carbon Markets and Hedging Strategies for Carbon Risk," Working Papers 15-10, Eastern Mediterranean University, Department of Economics.
- Bocklet, Johanna & Hintermayer, Martin & Schmidt, Lukas & Wildgrube, Theresa, 2019. "The reformed EU ETS - Intertemporal emission trading with restricted banking," Energy Economics, Elsevier, vol. 84(C).
- Hammoudeh, Shawkat & Nguyen, Duc Khuong & Sousa, Ricardo M., 2014.
"Energy prices and CO2 emission allowance prices: A quantile regression approach,"
Energy Policy, Elsevier, vol. 70(C), pages 201-206.
- Shawkat Hammoudeh & Amine Lahiani & Duc Khuong Nguyen & Ricardo M. Sousa, 2014. "Energy prices and CO2 emission allowance prices: A quantile regression approach," NIPE Working Papers 06/2014, NIPE - Universidade do Minho.
- Shawkat Hammoudeh & Duc Khuong Nguyen & Ricardo M. Sousa, 2014. "Energy prices and CO2 emission allowance prices: A quantile regression approach," Working Papers 2014-185, Department of Research, Ipag Business School.
- Reboredo, Juan C., 2014. "Volatility spillovers between the oil market and the European Union carbon emission market," Economic Modelling, Elsevier, vol. 36(C), pages 229-234.
- Chevallier, Julien & Khuong Nguyen, Duc & Carlos Reboredo, Juan, 2019. "A conditional dependence approach to CO2-energy price relationships," Energy Economics, Elsevier, vol. 81(C), pages 812-821.
- Kollenberg, Sascha & Taschini, Luca, 2016.
"Emissions trading systems with cap adjustments,"
Journal of Environmental Economics and Management, Elsevier, vol. 80(C), pages 20-36.
- Sascha Kollenberg & Luca Taschini, 2016. "Emissions trading systems with cap adjustments," GRI Working Papers 195, Grantham Research Institute on Climate Change and the Environment.
- Kollenberg, Sascha & Taschini, Luca, 2016. "Emissions trading systems with cap adjustments," LSE Research Online Documents on Economics 67774, London School of Economics and Political Science, LSE Library.
- Grischa Perino, 2018. "New EU ETS Phase 4 rules temporarily puncture waterbed," Nature Climate Change, Nature, vol. 8(4), pages 262-264, April.
- Bali, Turan G. & Mo, Hengyong & Tang, Yi, 2008. "The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 269-282, February.
- Ma, Yan-Ran & Ji, Qiang & Wu, Fei & Pan, Jiaofeng, 2021. "Financialization, idiosyncratic information and commodity co-movements," Energy Economics, Elsevier, vol. 94(C).
- Chris Brooks, 2005.
"Autoregressive Conditional Kurtosis,"
Journal of Financial Econometrics, Oxford University Press, vol. 3(3), pages 399-421.
- Chris Brooks & Simon P. Burke & Gita Persand, 2002. "Augoregressive Conditional Kurtosis," ICMA Centre Discussion Papers in Finance icma-dp2002-05, Henley Business School, University of Reading.
- Zhu, Bangzhu & Han, Dong & Chevallier, Julien & Wei, Yi-Ming, 2017. "Dynamic multiscale interactions between European carbon and electricity markets during 2005–2016," Energy Policy, Elsevier, vol. 107(C), pages 309-322.
- Hammoudeh, Shawkat & Lahiani, Amine & Nguyen, Duc Khuong & Sousa, Ricardo M., 2015. "An empirical analysis of energy cost pass-through to CO2 emission prices," Energy Economics, Elsevier, vol. 49(C), pages 149-156.
- repec:dau:papers:123456789/4210 is not listed on IDEAS
- Tan, Xue-Ping & Wang, Xin-Yu, 2017. "Dependence changes between the carbon price and its fundamentals: A quantile regression approach," Applied Energy, Elsevier, vol. 190(C), pages 306-325.
- José Da Fonseca & Yahua Xu, 2019. "Variance and skew risk premiums for the volatility market: The VIX evidence," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 302-321, March.
- repec:dau:papers:123456789/6790 is not listed on IDEAS
- Bruninx, Kenneth & Ovaere, Marten & Delarue, Erik, 2020. "The long-term impact of the market stability reserve on the EU emission trading system," Energy Economics, Elsevier, vol. 89(C).
- Uddin, Gazi Salah & Hernandez, Jose Areola & Shahzad, Syed Jawad Hussain & Hedström, Axel, 2018.
"Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets,"
Energy Economics, Elsevier, vol. 71(C), pages 35-46.
- Gazi Salah Uddin & Jose Areola Hernandez & Syed Jawad Hussain Shahzad & Axel Hedström, 2018. "Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets," Post-Print hal-01996386, HAL.
- A. C. Christiansen & A. Arvanitakis & K. Tangen & H. Hasselknippe, 2005. "Price determinants in the EU emissions trading scheme," Climate Policy, Taylor & Francis Journals, vol. 5(1), pages 15-30, January.
- Aatola, Piia & Ollikainen, Markku & Toppinen, Anne, 2013. "Price determination in the EU ETS market: Theory and econometric analysis with market fundamentals," Energy Economics, Elsevier, vol. 36(C), pages 380-395.
- Vicente Medina & Angel Pardo, 2013. "Is the EUA a new asset class?," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 637-653, March.
- Van den Bergh, Kenneth & Delarue, Erik & D'haeseleer, William, 2013. "Impact of renewables deployment on the CO2 price and the CO2 emissions in the European electricity sector," Energy Policy, Elsevier, vol. 63(C), pages 1021-1031.
- Knut Einar Rosendahl, 2019. "EU ETS and the waterbed effect," Nature Climate Change, Nature, vol. 9(10), pages 734-735, October.
- Diebold, Francis X. & Yilmaz, Kamil, 2012.
"Better to give than to receive: Predictive directional measurement of volatility spillovers,"
International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
- Francis X. Diebold & Kamil Yilmaz, 2010. "Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers," Koç University-TUSIAD Economic Research Forum Working Papers 1001, Koc University-TUSIAD Economic Research Forum, revised Mar 2010.
- Hu, Min & Zhang, Dayong & Ji, Qiang & Wei, Lijian, 2020. "Macro factors and the realized volatility of commodities: A dynamic network analysis," Resources Policy, Elsevier, vol. 68(C).
- Chevallier, Julien, 2009. "Carbon futures and macroeconomic risk factors: A view from the EU ETS," Energy Economics, Elsevier, vol. 31(4), pages 614-625, July.
- Huang, Yumeng & Dai, Xingyu & Wang, Qunwei & Zhou, Dequn, 2021. "A hybrid model for carbon price forecastingusing GARCH and long short-term memory network," Applied Energy, Elsevier, vol. 285(C).
- Bocklet, Johanna & Hintermayer, Martin & Schmidt, Lukas & Wildgrube, Theresa, 2019. "The Reformed EU ETS - Intertemporal Emission Trading with Restricted Banking," EWI Working Papers 2019-4, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI).
- Vêlayoudom Marimoutou & Manel Soury, 2015. "Energy Markets and CO2 Emissions: Analysis by Stochastic Copula Autoregressive Model," Working Papers halshs-01148746, HAL.
- Alberola, Emilie & Chevallier, Julien & Cheze, Benoi^t, 2008. "Price drivers and structural breaks in European carbon prices 2005-2007," Energy Policy, Elsevier, vol. 36(2), pages 787-797, February.
- Finta, Marinela Adriana & Aboura, Sofiane, 2020. "Risk premium spillovers among stock markets: Evidence from higher-order moments," Journal of Financial Markets, Elsevier, vol. 49(C).
- Yu, Lean & Li, Jingjing & Tang, Ling & Wang, Shuai, 2015. "Linear and nonlinear Granger causality investigation between carbon market and crude oil market: A multi-scale approach," Energy Economics, Elsevier, vol. 51(C), pages 300-311.
- Qunwei Wang & Xingyu Dai & Dequn Zhou, 2020. "Dynamic Correlation and Risk Contagion Between “Black” Futures in China: A Multi-scale Variational Mode Decomposition Approach," Computational Economics, Springer;Society for Computational Economics, vol. 55(4), pages 1117-1150, April.
- Maria Mansanet-Bataller & Angel Pardo & Enric Valor, 2007. "CO2 Prices, Energy and Weather," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 73-92.
- repec:ipg:wpaper:2014-081 is not listed on IDEAS
- Bunn, Derek W. & Fezzi, Carlo, 2007. "Interaction of European Carbon Trading and Energy Prices," Climate Change Modelling and Policy Working Papers 9092, Fondazione Eni Enrico Mattei (FEEM).
- repec:dau:papers:123456789/5269 is not listed on IDEAS
- Hintermayer, Martin, 2020. "A Carbon Price Floor in the Reformed EU ETS: Design Matters!," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224576, Verein für Socialpolitik / German Economic Association.
- Julien Chevallier, 2011.
"Econometric analysis of carbon markets: the european union emissions trading scheme and the clean development mechanism,"
Economics Bulletin, AccessEcon, vol. 31(4), pages 1-53.
- Julien Chevallier, 2012. "Econometric Analysis of Carbon Markets: The European Union Emissions Trading Scheme and the Clean Development Mechanism," Post-Print halshs-00642336, HAL.
- Wang, Yudong & Guo, Zhuangyue, 2018. "The dynamic spillover between carbon and energy markets: New evidence," Energy, Elsevier, vol. 149(C), pages 24-33.
- Julien Chevallier, 2012.
"Time-varying correlations in oil, gas and CO 2 prices: an application using BEKK, CCC and DCC-MGARCH models,"
Applied Economics, Taylor & Francis Journals, vol. 44(32), pages 4257-4274, November.
- Julien Chevallier, 2011. "Time-varying correlations in oil, gas and CO2 prices: an application using BEKK, CCC, and DCC-MGARCH models," Post-Print hal-00716634, HAL.
- Julien Chevallier, 2012. "Time-varying correlations in oil, gas and CO2 prices: an application using BEKK, CCC, and DCC-MGARCH models," Post-Print hal-00991899, HAL.
- Derek W. Bunn & Carlo Fezzi, 2007. "Interaction of European Carbon Trading and Energy Prices," Working Papers 2007.63, Fondazione Eni Enrico Mattei.
- Hintermayer, Martin, 2020. "A carbon price floor in the reformed EU ETS: Design matters!," Energy Policy, Elsevier, vol. 147(C).
- Bangzhu Zhu & Ping Wang & Julien Chevallier & Yiming Wei, 2015.
"Carbon Price Analysis Using Empirical Mode Decomposition,"
Computational Economics, Springer;Society for Computational Economics, vol. 45(2), pages 195-206, February.
- Bangzhu Zhu & Ping Wang & Julien Chevallier & Yiming Wei, 2014. "Carbon price analysis using empirical mode decomposition," Working Papers 2014-156, Department of Research, Ipag Business School.
- Duan, Kun & Ren, Xiaohang & Shi, Yukun & Mishra, Tapas & Yan, Cheng, 2021. "The marginal impacts of energy prices on carbon price variations: Evidence from a quantile-on-quantile approach," Energy Economics, Elsevier, vol. 95(C).
- Vêlayoudom Marimoutou & Manel Soury, 2015. "Energy Markets and CO2 Emissions: Analysis by Stochastic Copula Autoregressive Model," AMSE Working Papers 1520, Aix-Marseille School of Economics, France.
- repec:dau:papers:123456789/5110 is not listed on IDEAS
- Reboredo, Juan C., 2013. "Modeling EU allowances and oil market interdependence. Implications for portfolio management," Energy Economics, Elsevier, vol. 36(C), pages 471-480.
- Chevallier, Julien & Goutte, Stéphane & Ji, Qiang & Guesmi, Khaled, 2021. "Green finance and the restructuring of the oil-gas-coal business model under carbon asset stranding constraints," Energy Policy, Elsevier, vol. 149(C).
- Campbell Harvey & John Liechty & Merrill Liechty & Peter Muller, 2010. "Portfolio selection with higher moments," Quantitative Finance, Taylor & Francis Journals, vol. 10(5), pages 469-485.
- Langlois, Hugues, 2020. "Measuring skewness premia," Journal of Financial Economics, Elsevier, vol. 135(2), pages 399-424.
- David S. Matteson & Nicholas A. James, 2014. "A Nonparametric Approach for Multiple Change Point Analysis of Multivariate Data," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(505), pages 334-345, March.
- Dai, Xingyu & Wang, Qunwei & Zha, Donglan & Zhou, Dequn, 2020. "Multi-scale dependence structure and risk contagion between oil, gold, and US exchange rate: A wavelet-based vine-copula approach," Energy Economics, Elsevier, vol. 88(C).
- Hintermayer, Martin, 2020. "A Carbon Price Floor in the Reformed EU ETS: Design matters!," EWI Working Papers 2020-3, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI).
- Perino, Grischa & Willner, Maximilian, 2016. "Procrastinating reform: The impact of the market stability reserve on the EU ETS," Journal of Environmental Economics and Management, Elsevier, vol. 80(C), pages 37-52.
- Lau, Marco Chi Keung & Vigne, Samuel A. & Wang, Shixuan & Yarovaya, Larisa, 2017. "Return spillovers between white precious metal ETFs: The role of oil, gold, and global equity," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 316-332.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Dai, Xingyu & Dai, Peng-Fei & Wang, Qunwei & Ouyang, Zhi-Yi, 2023. "The impact of energy-exporting countries’ EPUs on China’s energy futures investors: Risk preference, investment position and investment horizon," Research in International Business and Finance, Elsevier, vol. 64(C).
- Xingyu Dai & Dongna Zhang & Chi Keung Marco Lau & Qunwei Wang, 2023. "Multiobjective portfolio optimization: Forecasting and evaluation under investment horizon heterogeneity," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2167-2196, December.
- Cui, Jinxin & Maghyereh, Aktham, 2023. "Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective," Journal of Commodity Markets, Elsevier, vol. 30(C).
- Zhang, Dongna & Dai, Xingyu & Wang, Qunwei & Lau, Chi Keung Marco, 2023. "Impacts of weather conditions on the US commodity markets systemic interdependence across multi-timescales," Energy Economics, Elsevier, vol. 123(C).
- Zhao, Yi & Dai, Xingyu & Zhang, Dongna & Wang, Qunwei & Cao, Yaru, 2023. "Do weather conditions drive China's carbon-coal-electricity markets systemic risk? A multi-timescale analysis," Finance Research Letters, Elsevier, vol. 51(C).
- Bouri, Elie & Lei, Xiaojie & Xu, Yahua & Zhang, Hongwei, 2023. "Connectedness in implied higher-order moments of precious metals and energy markets," Energy, Elsevier, vol. 263(PB).
- Tong, Yuan & Wan, Ning & Dai, Xingyu & Bi, Xiaoyi & Wang, Qunwei, 2022. "China's energy stock market jumps: To what extent does the COVID-19 pandemic play a part?," Energy Economics, Elsevier, vol. 109(C).
- Miao, Xiaoyu & Wang, Qunwei & Dai, Xingyu, 2022. "Is oil-gas price decoupling happening in China? A multi-scale quantile-on-quantile approach," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 450-470.
- Feng, Huchen & Hu, Yu-Jie & Li, Chengjiang & Wang, Honglei, 2023. "Rolling horizon optimisation strategy and initial carbon allowance allocation model to reduce carbon emissions in the power industry: Case of China," Energy, Elsevier, vol. 277(C).
- Song, Xiang & Wang, Dingyu & Zhang, Xuantao & He, Yuan & Wang, Yong, 2022. "A comparison of the operation of China's carbon trading market and energy market and their spillover effects," Renewable and Sustainable Energy Reviews, Elsevier, vol. 168(C).
- Jinxin Cui & Aktham Maghyereh, 2022. "Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
- Nan Li & Beibei Shi & Rong Kang, 2021. "Information Disclosure, Coal Withdrawal and Carbon Emissions Reductions: A Policy Test Based on China’s Environmental Information Disclosure," Sustainability, MDPI, vol. 13(17), pages 1-24, August.
- Li, Jingyu & Liu, Ranran & Yao, Yanzhen & Xie, Qiwei, 2022. "Time-frequency volatility spillovers across the international crude oil market and Chinese major energy futures markets: Evidence from COVID-19," Resources Policy, Elsevier, vol. 77(C).
- Tian, Tingting & Lai, Kee-hung & Wong, Christina W.Y., 2022. "Connectedness mechanisms in the “Carbon-Commodity-Finance” system: Investment and management policy implications for emerging economies," Energy Policy, Elsevier, vol. 169(C).
- Dai, Xingyu & Li, Matthew C. & Xiao, Ling & Wang, Qunwei, 2022. "COVID-19 and China commodity price jump behavior: An information spillover and wavelet coherency analysis," Resources Policy, Elsevier, vol. 79(C).
- Su, Chi-Wei & Pang, Li-Dong & Qin, Meng & Lobonţ, Oana-Ramona & Umar, Muhammad, 2023. "The spillover effects among fossil fuel, renewables and carbon markets: Evidence under the dual dilemma of climate change and energy crises," Energy, Elsevier, vol. 274(C).
- Cui, Jinxin & Maghyereh, Aktham, 2023. "Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict," International Review of Financial Analysis, Elsevier, vol. 86(C).
- Wang, Qunwei & Liu, Mengmeng & Xiao, Ling & Dai, Xingyu & Li, Matthew C. & Wu, Fei, 2022. "Conditional sovereign CDS in market basket risk scenario: A dynamic vine-copula analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
- Xu Zhang & Xian Yang & Jianping Li & Jun Hao, 2023. "Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 705-733, June.
- Zhang, Wen & Wu, Zhibin & Zeng, Xiaojun & Zhu, Changhui, 2023. "An ensemble dynamic self-learning model for multiscale carbon price forecasting," Energy, Elsevier, vol. 263(PC).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Tan, Xueping & Sirichand, Kavita & Vivian, Andrew & Wang, Xinyu, 2020. "How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics," Energy Economics, Elsevier, vol. 90(C).
- Duan, Kun & Ren, Xiaohang & Shi, Yukun & Mishra, Tapas & Yan, Cheng, 2021. "The marginal impacts of energy prices on carbon price variations: Evidence from a quantile-on-quantile approach," Energy Economics, Elsevier, vol. 95(C).
- Lovcha, Yuliya & Perez-Laborda, Alejandro & Sikora, Iryna, 2022. "The determinants of CO2 prices in the EU emission trading system," Applied Energy, Elsevier, vol. 305(C).
- Adekoya, Oluwasegun B. & Oliyide, Johnson A. & Noman, Ambreen, 2021. "The volatility connectedness of the EU carbon market with commodity and financial markets in time- and frequency-domain: The role of the U.S. economic policy uncertainty," Resources Policy, Elsevier, vol. 74(C).
- Liu, Jianing & Man, Yuanyuan & Dong, Xiuliang, 2023. "Tail dependence and risk spillover effects between China's carbon market and energy markets," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 553-567.
- Chun, Dohyun & Cho, Hoon & Kim, Jihun, 2022. "The relationship between carbon-intensive fuel and renewable energy stock prices under the emissions trading system," Energy Economics, Elsevier, vol. 114(C).
- Zhu, Bangzhu & Ye, Shunxin & Han, Dong & Wang, Ping & He, Kaijian & Wei, Yi-Ming & Xie, Rui, 2019. "A multiscale analysis for carbon price drivers," Energy Economics, Elsevier, vol. 78(C), pages 202-216.
- Tan, Xue-Ping & Wang, Xin-Yu, 2017. "Dependence changes between the carbon price and its fundamentals: A quantile regression approach," Applied Energy, Elsevier, vol. 190(C), pages 306-325.
- Wen, Xiaoqian & Bouri, Elie & Roubaud, David, 2017. "Can energy commodity futures add to the value of carbon assets?," Economic Modelling, Elsevier, vol. 62(C), pages 194-206.
- Demiralay, Sercan & Gencer, Hatice Gaye & Bayraci, Selcuk, 2022. "Carbon credit futures as an emerging asset: Hedging, diversification and downside risks," Energy Economics, Elsevier, vol. 113(C).
- Yi Yao & Lixin Tian & Guangxi Cao, 2022. "The Information Spillover among the Carbon Market, Energy Market, and Stock Market: A Case Study of China’s Pilot Carbon Markets," Sustainability, MDPI, vol. 14(8), pages 1-18, April.
- Fang Zhang & Zhengjun Zhang, 2020. "The tail dependence of the carbon markets: The implication of portfolio management," PLOS ONE, Public Library of Science, vol. 15(8), pages 1-17, August.
- Huang, Wenyang & Wang, Huiwen & Qin, Haotong & Wei, Yigang & Chevallier, Julien, 2022. "Convolutional neural network forecasting of European Union allowances futures using a novel unconstrained transformation method," Energy Economics, Elsevier, vol. 110(C).
- Joao Leitao & Joaquim Ferreira & Ernesto Santibanez‐Gonzalez, 2021. "Green bonds, sustainable development and environmental policy in the European Union carbon market," Business Strategy and the Environment, Wiley Blackwell, vol. 30(4), pages 2077-2090, May.
- Hanif, Waqas & Arreola Hernandez, Jose & Mensi, Walid & Kang, Sang Hoon & Uddin, Gazi Salah & Yoon, Seong-Min, 2021. "Nonlinear dependence and connectedness between clean/renewable energy sector equity and European emission allowance prices," Energy Economics, Elsevier, vol. 101(C).
- Friedrich, Marina & Mauer, Eva-Maria & Pahle, Michael & Tietjen, Oliver, 2020.
"From fundamentals to financial assets: the evolution of understanding price formation in the EU ETS,"
EconStor Preprints
196150, ZBW - Leibniz Information Centre for Economics, revised 2020.
- Friedrich, Marina & Mauer, Eva-Maria & Pahle, Michael & Tietjen, Oliver, 2020. "From fundamentals to financial assets: the evolution of understanding price formation in the EU ETS," EconStor Preprints 225210, ZBW - Leibniz Information Centre for Economics.
- Fang, Sheng & Lu, Xinsheng & Li, Jianfeng & Qu, Ling, 2018. "Multifractal detrended cross-correlation analysis of carbon emission allowance and stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 551-566.
- Chun Jiang & Yi-Fan Wu & Xiao-Lin Li & Xin Li, 2020. "Time-frequency Connectedness between Coal Market Prices, New Energy Stock Prices and CO 2 Emissions Trading Prices in China," Sustainability, MDPI, vol. 12(7), pages 1-17, April.
- Lovcha, Yuliya & Pérez Laborda, Àlex & Sikora, Iryna, 2019. "The Determinants of CO2 prices in the EU ETS System," Working Papers 2072/376031, Universitat Rovira i Virgili, Department of Economics.
- Wenjun Chu & Shanglei Chai & Xi Chen & Mo Du, 2020. "Does the Impact of Carbon Price Determinants Change with the Different Quantiles of Carbon Prices? Evidence from China ETS Pilots," Sustainability, MDPI, vol. 12(14), pages 1-19, July.
More about this item
Keywords
EU ETS; Energy markets; Higher-order moments; Multiscale analysis; Portfolio management;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:enepol:v:156:y:2021:i:c:s0301421521002986. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/enpol .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.