 Energy markets and CO2 emissions: Analysis by stochastic copula autoregressive modelVêlayoudom Marimoutou and Manel Soury Energy, 2015, vol. 88, issue C, 417-429 Abstract: 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. Keywords: CO2 emissions; Dependence; SCAR copula; Efficient importance sampling; GAS model (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:energy:v:88:y:2015:i:c:p:417-429 DOI: 10.1016/j.energy.2015.05.060 Access Statistics for this article Energy is currently edited by Henrik Lund and Mark J. Kaiser More articles in Energy from Elsevier |
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