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dc.contributor.authorChevallier, Julien
HAL ID: 7536
dc.date.accessioned2011-07-26T08:08:26Z
dc.date.available2011-07-26T08:08:26Z
dc.date.issued2012-11
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6790
dc.language.isoenen
dc.subjectDCC-MGARCH modelen
dc.subjectCCC-MGARCH modelen
dc.subjectBEKK-MGARCH modelen
dc.subjecttime-varying correlationen
dc.subjectmultivariate GARCHen
dc.subjectvector autoregressionen
dc.subjectEU ETSen
dc.subjectCO2en
dc.subjectoilen
dc.subjectgasen
dc.subject.ddc332en
dc.subject.classificationjelQ48en
dc.subject.classificationjelQ57en
dc.subject.classificationjelQ58en
dc.titleTime-varying correlations in oil, gas and CO2 prices: an application using BEKK, CCC, and DCC-MGARCH modelsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenPrevious literature has identified oil and gas prices as being the main drivers of CO2 prices in a univariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) econometric framework (Alberola et al., 2008; Oberndorfer, 2009). By contrast, we argue in this article that the interrelationships between energy and emissions markets shall be modelled in a Vector Autoregressive (VAR) and Multivariate GARCH (MGARCH) framework, so as to reflect the dynamics of the correlations between the oil, gas and CO2 variables overtime. Using the Baba–Engle–Kraft–Kroner (BEKK), Constant Conditional Correlation (CCC) and Dynamic Conditional Correlation MGARCH (DCC-MGARCH) models on daily data from April 2005 to December 2008, we highlight significant own-volatility, cross-volatility spillovers, and own persistent volatility effects for nearly all markets, indicating the presence of strong Autoregressive Conditional Heteroscedasticity (ARCH) and GARCH effects. Besides, we provide strong empirical evidence of time-varying correlations in the range of [−0.3; 0.3] between oil and gas, [−0.05; 0.05] between oil and CO2, and [−0.2; 0.2] between gas and CO2, that have not been considered by previous studies. These findings are of interest for traders and utilities in the energy sector, but also for a broader applied economics audience.en
dc.relation.isversionofjnlnameApplied Economics
dc.relation.isversionofjnlvol44
dc.relation.isversionofjnlissue32
dc.relation.isversionofjnldate2012-11
dc.relation.isversionofjnlpages4257-4274
dc.relation.isversionofdoihttp://dx.doi.org/10.1080/00036846.2011.589809en
dc.identifier.urlsitehttp://peer.ccsd.cnrs.fr/peer-00716634
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherTaylor & Francisen
dc.subject.ddclabelEconomie financièreen


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