Energy Markets and CO2 Emissions: Analysis by Stochastic Copula Autoregressive Model

Autor: Velayoudom Marimoutou, Manel Soury
Přispěvatelé: Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM), École Centrale de Marseille (ECM)-École des hautes études en sciences sociales (EHESS)-Centre National de la Recherche Scientifique (CNRS)-Aix Marseille Université (AMU), Lai Tong, Charles, École des hautes études en sciences sociales (EHESS)-Aix Marseille Université (AMU)-École Centrale de Marseille (ECM)-Centre National de la Recherche Scientifique (CNRS)
Jazyk: angličtina
Rok vydání: 2015
Předmět:
Zdroj: Energy
Energy, Elsevier, 2015, 88, pp.417--429. ⟨10.1016/j.energy.2015.05.060⟩
Energy, 2015, 88, pp.417--429. ⟨10.1016/j.energy.2015.05.060⟩
ISSN: 0360-5442
DOI: 10.1016/j.energy.2015.05.060⟩
Popis: AD; International audience; We examine the dependence between the volatility of the prices of the carbon dioxide “CO2” emissions with the volatility of one of their fundamental components, the energy prices. The dependence between the returns will be approached by a particular class of copula, the SCAR (Stochastic Autoregressive) Copulas, which is a time varying copula that was first introduced by Hafner and Manner (2012) [1] in which the parameter driving the dynamic of the copula follows a stochastic autoregressive process. The standard likelihood method will be used together with EIS (Efficient Importance Sampling) method, to evaluate the integral with a large dimension in the expression of the likelihood function. The main result suggests that the dynamics of the dependence between the volatility of the CO2 emission prices and the volatility of energy returns, coal, natural gas and Brent oil prices, do vary over time, although not much in stable periods but rise noticeably during the period of crisis and turmoils.
Databáze: OpenAIRE