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Climate uncertainty and carbon emissions prices: The relative roles of transition and physical climate risks
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Climate uncertainty and carbon emissions prices: The relative roles of transition and physical climate risks (2022)Climate uncertainty and carbon emissions …Hedging climate risks with green assets (2022)Hedging climate risks with gr…Does weather, or energy prices, affect carbon prices? (2020)Does weather, or energy price…Do Investors Care about Carbon Risk? (2019)Do Investors Care about Carbo…The dynamic spillover between carbon and energy markets: New evidence (2018)The dynamic spillover between…A multiscale analysis for carbon price drivers (2018)A multiscale analysis for car…Modeling the price dynamics of CO2 emission allowances (2008)Modeling the price dynamics o…Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models (2006)Classical and Bayesian Analys…Price determinants in the EU emissions trading scheme (2005)Price determinants in the EU …Univariate and multivariate stochastic volatility models: estimation and diagnostics (2003)Univariate and multivariate s…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyA Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY (2005)Chapter 15 Volatility and Correlation Forecasting (2006)Multivariate Stochastic Volatility: A Review (2006)Multivariate Stochastic Variance Models (1994)Autoregressive Conditional Duration (Acd) Models in Finance: A Survey of the Theoretical and Empirical Literature (2006)Modelling Financial Time Series (2007)Asymmetry and Long Memory in Volatility Modeling (2011)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)The spillover effects among fossil fuel, renewables and carbon markets: Evidence under the dual dilemma of climate change and energy crises (2023)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series (1999)A hybrid model for carbon price forecastingusing GARCH and long short-term memory network (2021)Nonlinear dependence and connectedness between clean/renewable energy sector equity and European emission allowance prices (2021)Asymmetric causality of economic policy uncertainty and oil volatility index on time-varying nexus of the clean energy, carbon and green bond (2022)The European Union Emissions Trading Scheme: Origins, Allocation, and Early Results (2007)Price drivers and structural breaks in European carbon prices 2005–2007 (2008)Forecasting carbon prices based on real-time decomposition and causal temporal convolutional networks (2022)How does the Russian-Ukrainian war change connectedness and hedging opportunities? 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Evidence from China (2016)Dynamic Conditional Correlation (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric effects of climate policy uncertainty, geopolitical risk, and crude oil prices on clean energy prices (2022)Spillovers and connectedness among climate policy uncertainty, energy, green bond and carbon markets: A global perspective (2023)Transition versus physical climate risk pricing in European financial markets: a text-based approach (2024)Combining forecasts: A review and annotated bibliography (1989)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)Capital market response to emission rights returns: Evidence from the European power sector (2009)An emerging equilibrium in the EU emissions trading scheme (2010)The determinants of CO2 prices in the EU emission trading system (2021)
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References

  • 1995Comparing Predictive Accuracy5,370 cited
  • 2019Do Investors Care about Carbon Risk?3,593 cited
  • 2008Modeling the price dynamics of CO2 emission allowances697 cited
  • 2018The dynamic spillover between carbon and energy markets: New evidence268 cited
  • 2003Univariate and multivariate stochastic volatility models: estimation and diagnostics259 cited
  • 2018A multiscale analysis for carbon price drivers203 cited
  • 2020Does weather, or energy prices, affect carbon prices?191 cited
  • 2005Price determinants in the EU emissions trading scheme186 cited
  • 2022Hedging climate risks with green assets179 cited
  • 2006Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models81 cited

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