The dynamic volatility spillover between European carbon trading market and fossil energy market
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- 作者：Yue-Jun Zhanga ; b ; zyjmis@126.com" class="auth_mail" title="E-mail the corresponding author ; Ya-Fang Suna ; b
- 关键词：Carbon trading market ; Fossil energy market ; Dynamic correlation ; Dynamic volatility spillover
- 刊名：Journal of Cleaner Production
- 出版年：2016
- 出版时间：20 January 2016
- 年：2016
- 卷：112
- 期：part_P4
- 页码：2654-2663
- 全文大小：484 K
文摘
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The dynamic volatility spillover between carbon and energy markets are detected.
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Significant one-way and time-varying spillover exists from coal to carbon markets.
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There is also one-way and time-varying spillover from carbon to natural gas markets.
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No significant volatility spillover is found between carbon and crude oil markets.
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Coal market is most correlated with carbon market, followed by natural gas and oil.