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Volatility spillover effect and dynamic correlation between regional emissions allowances and fossil energy markets: New evidence from China’s emissions trading scheme pilots
16 references·3 citing·46 second hop
Volatility spillover effect and dynamic correlation between regional emissions allowances and fossil energy markets: New evidence from China’s emissions trading scheme pilots (2019)Volatility spillover effect and dynamic c…Forecasting carbon prices in the Shenzhen market, China: The role of mixed-frequency factors (2019)Forecasting carbon prices in …The dynamic spillover between carbon and energy markets: New evidence (2018)The dynamic spillover between…Information linkage, dynamic spillovers in prices and volatility between the carbon and energy markets (2018)Information linkage, dynamic …A multiscale analysis for carbon price drivers (2018)A multiscale analysis for car…Research on the efficiency of carbon trading market in China (2017)Research on the efficiency of…How to improve the market efficiency of carbon trading: A perspective of China (2016)How to improve the market eff…The dynamic volatility spillover between European carbon trading market and fossil energy market (2015)The dynamic volatility spillo…China׳s carbon-emissions trading: Overview, challenges and future (2015)China׳s carbon-emissions trad…Carbon emissions trading in China: the evolution from pilots to a nationwide scheme (2015)Carbon emissions trading in C…Energy prices and CO2 emission allowance prices: A quantile regression approach (2014)Energy prices and CO2 emissio…Emissions trading in China: Progress and prospects (2014)Emissions trading in China: P…Achieving Copenhagen target through carbon emission trading: Economic impacts assessment in Guangdong Province of China (2014)Achieving Copenhagen target t…The more contagion effect on emerging markets: The evidence of DCC-GARCH model (2012)The more contagion effect on …Carbon price drivers: Phase I versus Phase II equilibrium? (2011)Carbon price drivers: Phase I…Price drivers and structural breaks in European carbon prices 2005–2007 (2008)Price drivers and structural …Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Leveraging machine learning to forecast carbon returns: Factors from energy markets (2023)Leveraging machine learning t…The dynamic spillovers among carbon, fossil energy and electricity markets based on a TVP-VAR-SV method (2022)The dynamic spillovers among …Information Spillovers between Carbon Emissions Trading Prices and Shipping Markets: A Time-Frequency Analysis (2022)Information Spillovers betwee…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)The marginal impacts of energy prices on carbon price variations: Evidence from a quantile-on-quantile approach (2021)The spillover effects among fossil fuel, renewables and carbon markets: Evidence under the dual dilemma of climate change and energy crises (2023)Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks (2003)Allowance price drivers in the first phase of the EU ETS (2009)Pricing Carbon: The European Union Emissions Trading Scheme (2010)Causes of the EU ETS price drop: Recession, CDM, renewable policies or a bit of everything?—New evidence (2014)A Theory of Demand for Products Distinguished by Place of Production (Une theorie de la demande de produits differencies d'apres leur origine) (Una teoria de la demanda de productos distinguiendolos segun el lugar de produccion) (1969)China statistical yearbook (1988)How will the emissions trading scheme save cost for achieving China’s 2020 carbon intensity reduction target? 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A systematic analysis of spillovers and dynamics (2020)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis (2015)The heterogeneity dependence between crude oil price changes and industry stock market returns in China: Evidence from a quantile regression approach (2016)Directive 2003/87/EC of the European Parliament and of the Council of 13 October 2003 Establishing a Scheme for Greenhouse Gas Emission Allowance Trading Within the Community and Amending Council Directive 96/61/EC (2005)Trends in global CO2 emissions: 2012 report (2012)Research on China’s cap-and-trade carbon emission trading scheme: Overview and outlook (2016)A review of China’s carbon trading market (2018)Impulse response analysis in nonlinear multivariate models (1996)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States (2019)Analyzing time-varying volatility spillovers between the crude oil markets using a new method (2020)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)The dynamic dependence of fossil energy, investor sentiment and renewable energy stock markets (2019)Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis (2021)The Problem of Social Cost (1960)The Economics of Climate Change (2007)The Economics of Climate Change (2010)Carbon finance and carbon market in China: Progress and challenges (2019)Quantity or quality? 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this work references cited by second hop

References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2008Price drivers and structural breaks in European carbon prices 2005–2007725 cited
  • 2015China׳s carbon-emissions trading: Overview, challenges and future538 cited
  • 2018Information linkage, dynamic spillovers in prices and volatility between the carbon and energy markets385 cited
  • 2011Carbon price drivers: Phase I versus Phase II equilibrium?329 cited
  • 2015The dynamic volatility spillover between European carbon trading market and fossil energy market280 cited
  • 2012The more contagion effect on emerging markets: The evidence of DCC-GARCH model278 cited
  • 2014Emissions trading in China: Progress and prospects276 cited
  • 2018The dynamic spillover between carbon and energy markets: New evidence268 cited
  • 2014Achieving Copenhagen target through carbon emission trading: Economic impacts assessment in Guangdong Province of China257 cited
  • 2016How to improve the market efficiency of carbon trading: A perspective of China249 cited
  • 2017Research on the efficiency of carbon trading market in China216 cited
  • 2014Energy prices and CO2 emission allowance prices: A quantile regression approach212 cited
  • 2019Forecasting carbon prices in the Shenzhen market, China: The role of mixed-frequency factors208 cited

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  • 2015Carbon emissions trading in China: the evolution from pilots to a nationwide scheme207 cited
  • 2018A multiscale analysis for carbon price drivers203 cited
  • Cited by

    • 2022The dynamic spillovers among carbon, fossil energy and electricity markets based on a TVP-VAR-SV method67 cited
    • 2022Information Spillovers between Carbon Emissions Trading Prices and Shipping Markets: A Time-Frequency Analysis66 cited
    • 2023Leveraging machine learning to forecast carbon returns: Factors from energy markets33 cited