Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA
Chia-Lin Chang (Department of Applied Economics, Department of Finance, National Chung Hsing University, Taiwan), Michael McAleer (Department of Quantitative Finance, National Tsing Hua University, Taiwan and Discipline of Business Analytics, University of Sydney Business School, and Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands and Department of Quantitative Economics, Complutense University of Madrid, Spain, and Institute of Advanced Sciences, Yokohama National University, Japan), Guangdong Zuo (Department of Quantitative Finance, National Tsing Hua University, Taiwan)
| Year of publication: |
[2017] ; Revised: May 2017
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|---|---|
| Authors: | Chang, Chia-Lin ; McAleer, Michael ; Zuo, Guangdong |
| Publisher: |
[Rotterdam] : [Econometric Institute, Erasmus School of Economics] |
| Subject: | Treibhausgas-Emissionen | Greenhouse gas emissions | Ölpreis | Oil price | Rohstoffpreis | Commodity price | Kohle | Coal | Spotmarkt | Spot market | Futures | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Hedging | Kausalanalyse | Causality analysis | ARCH-Modell | ARCH model | EU-Staaten | EU countries | USA | United States |
freely available