Journal ArticleDOI
The dynamic volatility spillover between European carbon trading market and fossil energy market
Yue-Jun Zhang,Ya-Fang Sun +1 more
TLDR
In this article, the authors employed the threshold dynamic conditional correlation (DCC) generalized autoregressive conditional heteroscedasticity (GARCH) model and the full Baba, Engle, Kraft and Kroner (BEKK) GARCH model to explore the time-varying correlation and dynamic volatility spillover.About:
This article is published in Journal of Cleaner Production.The article was published on 2016-01-20. It has received 163 citations till now. The article focuses on the topics: Market microstructure & Brent Crude.read more
Citations
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Journal ArticleDOI
Information linkage, dynamic spillovers in prices and volatility between the carbon and energy markets
TL;DR: In this article, the authors adopt a systemic time-series approach to study connectedness in both returns and volatility in the carbon-energy system, and a rolling-windows method is used to show the dynamic features.
Journal ArticleDOI
The dynamic spillover between carbon and energy markets: New evidence
Yudong Wang,Zhuangyue Guo +1 more
TL;DR: In this article, the authors employed the method introduced by Diebold and Yilmaz (2012) which constructs the spillover index by variance decomposition of the prediction error and revealed the asymmetric spillover effect between two types of markets in return and volatility series.
Journal ArticleDOI
Energy efficiency, carbon emission performance, and technology gaps: Evidence from CDM project investment
TL;DR: In this article, a meta-frontier non-radial directional distance function based on the Data Envelopment Analysis (DEA) window analysis was used to measure the total factor energy efficiency and carbon emission performance of leading countries involved in CDM projects during 1990-2015.
Journal ArticleDOI
Do all clean energy stocks respond homogeneously to oil price
TL;DR: In this article, the authors investigated whether the relationship between oil price and clean energy stock is homogeneous across sub-sectors of the clean energy market and its implications for portfolio diversification and clean-energy finance policy.
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The marginal impacts of energy prices on carbon price variations: evidence from a quantile-on-quantile approach
TL;DR: In this article, the marginal impacts of energy prices on carbon price variations across carbon-energy price distributions in Phase III of the European Union Emission Trading Scheme (EU ETS) are investigated.
References
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Journal ArticleDOI
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
David A. Dickey,Wayne A. Fuller +1 more
TL;DR: In this article, the limit distributions of the estimator of p and of the regression t test are derived under the assumption that p = ± 1, where p is a fixed constant and t is a sequence of independent normal random variables.
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Testing for a Unit Root in Time Series Regression
TL;DR: In this article, the authors proposed new tests for detecting the presence of a unit root in quite general time series models, which accommodate models with a fitted drift and a time trend so that they may be used to discriminate between unit root nonstationarity and stationarity about a deterministic trend.
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Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?
TL;DR: In this paper, a test of the null hypothesis that an observable series is stationary around a deterministic trend is proposed, where the series is expressed as the sum of deterministic trends, random walks, and stationary error.
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On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
TL;DR: In this article, a modified GARCH-M model was used to find a negative relation between conditional expected monthly return and conditional variance of monthly return, using seasonal patterns in volatility and nominal interest rates to predict conditional variance.
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Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models
TL;DR: In this article, a new class of multivariate models called dynamic conditional correlation models is proposed, which have the flexibility of univariate generalized autoregressive conditional heteroskedasticity (GARCH) models coupled with parsimonious parametric models for the correlations.