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Tail dependence and risk spillover effects between China's carbon market and energy markets
16 references·0 citing·38 second hop
Tail dependence and risk spillover effects between China's carbon market and energy markets (2022)Tail dependence and risk spillover effect…How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics (2020)How connected is the carbon m…Carbon finance and carbon market in China: Progress and challenges (2019)Carbon finance and carbon mar…Information linkage, dynamic spillovers in prices and volatility between the carbon and energy markets (2018)Information linkage, dynamic …CoVaR (2016)CoVaRCarbon Risk, Carbon Risk Awareness and the Cost of Debt Financing (2016)Carbon Risk, Carbon Risk Awar…The dynamic volatility spillover between European carbon trading market and fossil energy market (2015)The dynamic volatility spillo…Forecasting carbon futures volatility using GARCH models with energy volatilities (2013)Forecasting carbon futures vo…Copula Methods for Forecasting Multivariate Time Series (2013)Copula Methods for Forecastin…GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)GENERALIZED AUTOREGRESSIVE SC…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…Carbon price drivers: Phase I versus Phase II equilibrium? (2011)Carbon price drivers: Phase I…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Price drivers and structural breaks in European carbon prices 2005–2007 (2008)Price drivers and structural …MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…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)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)Green bond and financial markets: Co-movement, diversification and price spillover effects (2018)Price connectedness between green bond and financial markets (2019)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and pricing long memory in stock market volatility (1996)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Generalized autoregressive conditional heteroskedasticity (1986)A review of copula models for economic time series (2012)Forecasting: theory and practice (2022)Multivariate Simultaneous Generalized ARCH (1995)An Introduction to Copulas (1999)Oil prices, US stock return, and the dependence between their quantiles (2015)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)SRISK: A conditional capital shortfall measure of systemic risk (2017)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)The Economics of Climate Change (2007)The Economics of Climate Change: The Stern Review (2007)ESG practices and the cost of debt: Evidence from EU countries (2019)The Influence of Firm Size on the ESG Score: Corporate Sustainability Ratings Under Review (2019)Extending the benefits of ESG disclosure: The effect on the cost of debt financing (2021)Impulse response analysis in nonlinear multivariate models (1996)Dynamic connectedness and integration in cryptocurrency markets (2018)Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis (2021)Evaluating Interval Forecasts (1998)Liquidity and leverage (2008)Market Liquidity and Funding Liquidity (2008)
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References

  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers6,033 cited
  • 2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms4,943 cited
  • 2016CoVaR2,490 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2012GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS998 cited
  • 2016Carbon Risk, Carbon Risk Awareness and the Cost of Debt Financing783 cited
  • 2008Price drivers and structural breaks in European carbon prices 2005–2007725 cited
  • 2011Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis622 cited
  • 2018Information linkage, dynamic spillovers in prices and volatility between the carbon and energy markets385 cited
  • 2013Forecasting carbon futures volatility using GARCH models with energy volatilities354 cited
  • 2011Carbon price drivers: Phase I versus Phase II equilibrium?329 cited
  • 2013Copula Methods for Forecasting Multivariate Time Series323 cited
  • 2020How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics295 cited
  • 2019

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Carbon finance and carbon market in China: Progress and challenges
287 cited
  • 2015The dynamic volatility spillover between European carbon trading market and fossil energy market280 cited
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