A study on the volatility spillovers, long memory effects and interactions between carbon and energy markets: The impacts of extreme weather

Hsiang-Hsi Liu and Yi-Chun Chen

Economic Modelling, 2013, vol. 35, issue C, 840-855

Abstract: Due to the connections of energy uses, carbon emissions and climate, this study investigates the interactions, volatility spillovers, and long memory effects for carbon, oil, natural gas and coal markets by using FIEC-HYGARCH model. It also discusses the mediating effect of extreme weather. The empirical results verify that the FIEC-HYGARCH model can capture the long-term volatility behavior. The futures returns of carbon and energy have long memory and own-mean spillover effects. Moreover, the conditional variances also have volatility spillovers, long memory effects and amplitudes. Hence, there exist dynamic interrelationships among the futures returns of carbon and energy. Further, it also extends the long memory and causes various spillover effects by incorporating extreme weather into the model, indicating that extreme weather has certain impacts on carbon, oil, natural gas and coal markets.

Keywords: Long memory; FIEC-HYGARCH; Volatility spillover (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (56)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999313003222
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:35:y:2013:i:c:p:840-855

DOI: 10.1016/j.econmod.2013.08.007

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().