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My bibliography Save this paperVolatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA
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- Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017. "Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA," Sustainability, MDPI, vol. 9(10), pages 1-22, October.
- Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017. "Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA," Tinbergen Institute Discussion Papers 17-051/III, Tinbergen Institute.
- Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017. "Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA," Documentos de Trabajo del ICAE 2017-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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- Hafner, Christian & Herwartz, Helmut & Maxand, Simone, 2020. "Identification of structural multivariate GARCH models," LIDAM Reprints ISBA 2020032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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- Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Documentos de Trabajo del ICAE 2018-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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More about this item
Keywords
Carbon emissions; Fossil fuels; Crude oil; Coal; Low carbon targets; Green energy; Spot and futures prices; Granger causality and volatility spillovers; Likelihood ration test; Diagonal BEKK; Full BEKK; Dynamic hedging;All these keywords.
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- L71 - Industrial Organization - - Industry Studies: Primary Products and Construction - - - Mining, Extraction, and Refining: Hydrocarbon Fuels
- O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
- P28 - Political Economy and Comparative Economic Systems - - Socialist and Transition Economies - - - Natural Resources; Environment
- Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2018-07-16 (Energy Economics)
- NEP-ENV-2018-07-16 (Environmental Economics)
- NEP-ETS-2018-07-16 (Econometric Time Series)
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