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Dynamic Spillovers and Asymmetric Spillover Effect between the Carbon Emission Trading Market, Fossil Energy Market, and New Energy Stock Market in China
16 references·1 citing·38 second hop
Dynamic Spillovers and Asymmetric Spillover Effect between the Carbon Emission Trading Market, Fossil Energy Market, and New Energy Stock Market in China (2021)Dynamic Spillovers and Asymmetric Spillov…The dynamic dependence of fossil energy, investor sentiment and renewable energy stock markets (2019)The dynamic dependence of fos…Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Time and frequency dynamics o…The dynamic spillover between carbon and energy markets: New evidence (2018)The dynamic spillover between…On the dynamic dependence and investment performance of crude oil and clean energy stocks (2017)On the dynamic dependence and…Decoupling CO2 emission and economic growth in China: Is there consistency in estimation results in analyzing environmental Kuznets curve? (2017)Decoupling CO2 emission and e…Wavelet-based test of co-movement and causality between oil and renewable energy stock prices (2016)Wavelet-based test of co-move…Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk (2015)Risk spillovers across the en…Causes of the EU ETS price drop: Recession, CDM, renewable policies or a bit of everything?—New evidence (2014)Causes of the EU ETS price dr…Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis (2011)Stock prices of clean energy …On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)On the Network Topology of Va…Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Correlations and volatility s…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 …Over-Allocation or Abatement? A Preliminary Analysis of the EU ETS Based on the 2005–06 Emissions Data (2008)Over-Allocation or Abatement?…Oil prices and the stock prices of alternative energy companies (2007)Oil prices and the stock pric…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …The contagion of extreme risks between fossil and green energy markets: evidence from China (2024)The contagion of extreme risk…Stochastic Simulation (1987)How Big Is the Random Walk in GNP? (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)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)Multivariate GARCH models: a surveyModeling Asymmetric Comovements of Asset Returns (1998)Dynamic Conditional Correlation (2002)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Green bond and financial markets: Co-movement, diversification and price spillover effects (2018)Macroeconomics and Reality (1980)Statistical inference in vector autoregressions with possibly integrated processes (1995)Generalized impulse response analysis in linear multivariate models (1998)Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013)Price connectedness between green bond and financial markets (2019)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Price determination in the EU ETS market: Theory and econometric analysis with market fundamentals (2012)Corporate Carbon and Financial Performance: A Meta‐analysis (2017)What will China's carbon emission trading market affect with only electricity sector involvement? A CGE based study (2018)Economic Forces and the Stock Market (1986)Oil prices, exchange rates and emerging stock markets (2011)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)Diversification in the age of the 4th industrial revolution: The role of artificial intelligence, green bonds and cryptocurrencies (2020)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Extreme return connectedness and its determinants between clean/green and dirty energy investments (2020)Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies (2021)Geopolitical risk and dynamic connectedness between commodity markets (2022)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Carbon Footprint and the Management of Supply Chains: Insights From Simple Models (2012)Environmental Policy and Directed Technological Change: Evidence from the European Carbon Market (2014)The Valuation Relevance of Greenhouse Gas Emissions under the European Union Carbon Emissions Trading Scheme (2014)
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References

  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms4,943 cited
  • 2011Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies877 cited
  • 2007Oil prices and the stock prices of alternative energy companies843 cited
  • 2008Price drivers and structural breaks in European carbon prices 2005–2007725 cited
  • 2018Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices643 cited
  • 2011Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis622 cited
  • 2016Wavelet-based test of co-movement and causality between oil and renewable energy stock prices501 cited
  • 2008Over-Allocation or Abatement? A Preliminary Analysis of the EU ETS Based on the 2005–06 Emissions Data451 cited
  • 2014Causes of the EU ETS price drop: Recession, CDM, renewable policies or a bit of everything?—New evidence447 cited
  • 2011Carbon price drivers: Phase I versus Phase II equilibrium?329 cited
  • 2017Decoupling CO2 emission and economic growth in China: Is there consistency in estimation results in analyzing environmental Kuznets curve?303 cited
  • 2019The dynamic dependence of fossil energy, investor sentiment and renewable energy stock markets294 cited

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  • 2017On the dynamic dependence and investment performance of crude oil and clean energy stocks288 cited
  • 2018The dynamic spillover between carbon and energy markets: New evidence268 cited
  • 2015Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk248 cited
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    • 2024The contagion of extreme risks between fossil and green energy markets: evidence from China53 cited