Volatility spillovers between the oil market and the European Union carbon emission market
Volatility spillovers between the oil market and the European Union carbon emission market
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DOI：
10.1016/j.econmod.2013.09.039
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发表时间：
2014
影响因子：
4.7
通讯作者：
J. Reboredo
中科院分区：
文献类型：
--
作者：
J. Reboredo
本文研究了欧盟排放配额（EUA）和石油市场之间的波动传递的动态范围为基础的波动性措施。我们提出了一个二元对数正态分布的多元条件自回归极差模型，以捕捉石油和EUA市场之间的波动动态和波动溢出。我们对欧盟排放交易计划第二阶段的研究结果表明，波动动态和杠杆效应的存在，这些市场之间没有显着的波动溢出。这些结果仍然稳健的其他波动性措施和模型规格。
This paper examines the dynamics of volatility transmission between EU emission allowances (EUA) and oil markets using a range-based volatility measure. We propose a multivariate conditional autoregressive range model with bivariate lognormal distribution to capture volatility dynamics and volatility spillovers between oil and EUA markets. Our findings for Phase II of the European Union Emissions Trading Scheme point to the existence of volatility dynamics and leverage effects and to no significant volatility spillovers between these markets. These results remained robust to other volatility measures and model specifications.