Volatility spillovers between the oil market and the European Union carbon emission market

Juan Reboredo

Economic Modelling, 2014, vol. 36, issue C, 229-234

Abstract: This paper examines the dynamics of volatility transmission between EU emission allowances (EUA) and oil markets using a range-based volatility measure. We propose a multivariate conditional autoregressive range model with bivariate lognormal distribution to capture volatility dynamics and volatility spillovers between oil and EUA markets. Our findings for Phase II of the European Union Emissions Trading Scheme point to the existence of volatility dynamics and leverage effects and to no significant volatility spillovers between these markets. These results remained robust to other volatility measures and model specifications.

Keywords: CO2 emission allowances; Oil prices; Volatility spillovers; Range volatility (search for similar items in EconPapers)
JEL-codes: C22 C58 G11 G15 G32 Q52 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (71)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:36:y:2014:i:c:p:229-234

DOI: 10.1016/j.econmod.2013.09.039

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