schliessen

Filtern

 

Bibliotheken

Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA / Chia-Lin Chang, Michael McAleer, Guangdong Zuo

Recent research shows that efforts to limit climate change should focus on reducing emissions of carbon dioxide over other greenhouse gases or air pollutants. Many countries are paying substantial attention to carbon emissions to improve air quality and public health. The largest source of carbon em... Full description

PPN (Catalogue-ID): 890118205
Personen: Chang, Chia-Lin [VerfasserIn]
McAleer, Michael [VerfasserIn]
Zuo, Guangdong [VerfasserIn]
Format: eBook eBook
Language: English
Published: Amsterdam, Tinbergen Institute, 2017
Edition: Revised: May 2017
Series: Tinbergen Institute discussion paper III (TI 2017, 051)
Physical Description: 1 Online-Ressource (circa 52 Seiten), Illustrationen.

Similar Items

Vorhandene Hefte/Bände

more (+)

Informationen zur Verfügbarkeit werden geladen

Staff View
LEADER 04354cam a2200613 4500
001 890118205
003 DE-627
005 20180517120412.0
007 cr uuu---uuuuu
008 170612s2017 xx |||||o 00| ||eng c
024 7 |a 10419/177619  |2 hdl 
035 |a (DE-627)890118205 
035 |a (DE-576)9890118203 
035 |a (DE-599)GBV890118205 
040 |a DE-627  |b ger  |c DE-627  |e rda 
041 |a eng 
044 |c XA-NL 
084 |a C58  |a L71  |a O13  |a P28  |a Q42  |2 JEL 
100 1 |a Chang, Chia-Lin  |e verfasserin  |0 (DE-588)132434385  |0 (DE-627)521349346  |0 (DE-576)299143171  |4 aut 
245 1 0 |a Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA  |c Chia-Lin Chang, Michael McAleer, Guangdong Zuo 
250 |a Revised: May 2017 
264 1 |a Amsterdam  |b Tinbergen Institute  |c 2017 
300 |a 1 Online-Ressource (circa 52 Seiten)  |b Illustrationen 
336 |a Text  |b txt  |2 rdacontent 
337 |a Computermedien  |b c  |2 rdamedia 
338 |a Online-Ressource  |b cr  |2 rdacarrier 
490 1 |a Tinbergen Institute discussion paper  |v TI 2017, 051  |a III 
520 |a Recent research shows that efforts to limit climate change should focus on reducing emissions of carbon dioxide over other greenhouse gases or air pollutants. Many countries are paying substantial attention to carbon emissions to improve air quality and public health. The largest source of carbon emissions from human activities in some countries in Europe and elsewhere is from burning fossil fuels for electricity, heat, and transportation. The price of fuel influences carbon emissions, but the price of carbon emissions can also influence the price of fuel. Owing to the importance of carbon emissions and their connection to fossil fuels, and the possibility of Granger (1980) causality in spot and futures prices, returns and volatility of carbon emissions, it is not surprising that crude oil and coal have recently become a very important research topic. For the USA, daily spot and futures prices are available for crude oil and coal, but there are no daily spot or futures prices for carbon emissions. For the EU, there are no daily spot prices for coal or carbon emissions, but there are daily futures prices for crude oil, coal and carbon emissions. For this reason, daily prices will be used to analyse Granger causality and volatility spillovers in spot and futures prices of carbon emissions, crude oil, and coal. A likelihood ratio test is developed to test the multivariate conditional volatility Diagonal BEKK model, which has valid regularity conditions and asymptotic properties, against the alternative Full BEKK model, which has valid regularity conditions and asymptotic properties under the null hypothesis of zero off-diagonal elements. Dynamic hedging strategies using optimal hedge ratios will be suggested to analyse market fluctuations in the spot and futures returns and volatility of carbon emissions, crude oil and coal prices. 
700 1 |a McAleer, Michael  |e verfasserin  |0 (DE-588)124782108  |0 (DE-627)366050958  |0 (DE-576)294499466  |4 aut 
700 1 |a Zuo, Guangdong  |e verfasserin  |0 (DE-588)1135785716  |0 (DE-627)890862362  |0 (DE-576)49012139X  |4 aut 
810 2 |a Tinbergen Institute  |t Discussion paper  |v TI 2017, 051  |9 201705100  |w (DE-627)571610943  |w (DE-576)283869771  |w (DE-600)2435783-2  |x 0929-0834 
856 4 0 |u http://hdl.handle.net/10419/177619  |z Kostenfrei 
856 4 0 |u http://www.tinbergen.nl/discussionpaper/?paper=2760 
856 7 |u 10419/177619  |2 hdl 
912 |a GBV_ILN_26 
912 |a SYSFLAG_1 
912 |a GBV_KXP 
912 |a GBV_ILN_2403 
951 |a BO 
980 |2 26  |1 01  |b 1694242080  |f K:  |d DS 432 (2017,51)  |x 0206  |y z1k  |z 12-06-17 
980 |2 2403  |1 01  |b 3496558784  |e n  |x 21403  |y l01  |z 24-07-19 
981 |2 2403  |1 01  |r http://hdl.handle.net/10419/177619 
982 |2 26  |1 00  |8 56  |a carbon emissions 
982 |2 26  |1 00  |8 56  |a fossil fuels 
982 |2 26  |1 00  |8 56  |a crude oil 
982 |2 26  |1 00  |8 56  |a coal 
982 |2 26  |1 00  |8 56  |a low carbon targets 
982 |2 26  |1 00  |8 56  |a green energy 
982 |2 26  |1 00  |8 56  |a spot and futures prices 
982 |2 26  |1 00  |8 56  |a granger causality and volatility spillovers 
982 |2 26  |1 00  |8 56  |a likelihood ration test 
982 |2 26  |1 00  |8 56  |a diagonal BEKK 
982 |2 26  |1 00  |8 56  |a full BEKK 
982 |2 26  |1 00  |8 56  |a dynamic hedging