Journal ArticleDOI
Analyzing spillover effects between carbon and fossil energy markets from a time-varying perspective
TLDR
In this paper, the authors used the time-varying vector parameter autoregressive model with stochastic volatility (TVP-VAR-SV model) and impulse response function to study the intensity and direction of the time changing spillover effects between the carbon market and fossil energy markets.About:
This article is published in Applied Energy.The article was published on 2021-03-01. It has received 52 citations till now. The article focuses on the topics: Spillover effect & Futures contract.read more
Citations
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Asymmetric causality of economic policy uncertainty and oil volatility index on time-varying nexus of the clean energy, carbon and green bond
TL;DR: In this article , the authors investigated the time-varying connections among clean energy, carbon, and green bonds through the DCC-MIDAS model, thus providing a bird's-eye view of their dynamic nexus.
Journal ArticleDOI
Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic
TL;DR: In this article , a time-varying parameter vector autoregression model (TVP-VAR) was used to examine the dynamic nonlinear connectedness between the green bonds, clean energy, and stock price around the COVID-19 outbreak in the global markets.
Journal ArticleDOI
The determinants of CO2 prices in the EU emission trading system
TL;DR: In this article, the authors developed a model that links the energy sector (oil, natural gas, coal, electricity prices, and the share of fossil fuels in electricity generation), economic activity, and carbon price.
Journal ArticleDOI
The determinants of CO2 prices in the EU emission trading system
TL;DR: In this article , the authors developed a model that links the energy sector (oil, natural gas, coal, electricity prices, and the share of fossil fuels in electricity generation), economic activity, and carbon price, which can be used as a monitoring tool for carbon price dynamics.
Journal ArticleDOI
Time-frequency spillovers among carbon, fossil energy and clean energy markets: The effects of attention to climate change
TL;DR: In this paper , the authors explore the time-frequency spillovers among carbon, fossil energy and clean energy markets, and consider the casual effects of climate change attention, and find that investors' attention to climate change has significant causal effects on spillovers.
References
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Journal ArticleDOI
Macroeconomics and reality
TL;DR: In this article, the authors argue that the style in which their builders construct claims for a connection between these models and reality is inappropriate, to the point at which claims for identification in these models cannot be taken seriously.
Journal ArticleDOI
Computation and analysis of multiple structural change models
Jushan Bai,Pierre Perron +1 more
TL;DR: In this paper, the problem of estimating the break dates and the number of breaks in a linear model with multiple structural changes has been considered and an efficient algorithm based on the principle of dynamic programming has been proposed.
Posted Content
Computation and Analysis of Multiple Structural-Change Models
Jushan Bai,Pierre Perron +1 more
TL;DR: In this paper, the problem of estimating the number of break dates in a linear model with multiple structural changes has been studied and an efficient algorithm to obtain global minimizers of the sum of squared residuals has been proposed.
Journal ArticleDOI
Better to give than to receive: Predictive directional measurement of volatility spillovers
TL;DR: This paper used a generalized vector autoregressive framework to characterize daily volatility spillovers across US stock, bond, foreign exchange and commodities markets, from January 1999 to January 2010, and showed that despite significant volatility fluctuations in all four markets during the sample, cross-market volatility spillover were quite limited until the global financial crisis, which began in 2007.
Journal ArticleDOI
Time Varying Structural Vector Autoregressions and Monetary Policy
TL;DR: In this paper, monetary policy and the private sector behavior of the US economy are modeled as a time varying structural vector autoregression, where the sources of time variation are both the coefficients and the variance covariance matrix of the innovations.
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