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Energy markets and CO2 emissions: Analysis by stochastic copula autoregressive model · Study

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ArticleEnergy markets and CO2 emissions: Analysis by stochastic copula autoregressive model

Vêlayoudom Marimoutou2015

OA

Articlegreen2015

Energy markets and CO2 emissions: Analysis by stochastic copula autoregressive model

Vêlayoudom Marimoutou · Manel Soury

64 citations·0/0 files stored·Energy

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1999An Introduction to Copulas 2002Dynamic Conditional Correlation 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*1986Modelling the persistence of conditional variances 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

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2020Assessing the impact of ETS trading profit on emission abatements based on firm-level transactions 2016A quantile regression analysis of China's provincial CO2 emissions: Where does the difference lie?2022Quantile connectedness between energy, metal, and carbon markets 2021Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS 2023Volatility spillover and hedging strategies between the European carbon emissions and energy markets

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Year2015

Typearticle

Published2015-07-02

VenueEnergy

ISSN-L0360-5442

Languageen

Citations64

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.energy.2015.05.060

openalex_workW1573540347

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2022A systemic analysis of dynamic frequency spillovers among carbon emissions trading (CET), fossil energy and sectoral stock markets: Evidence from China

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2022Dynamic relationships among green bonds, CO2 emissions, and oil prices