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- Marimoutou, Vêlayoudom, et al. Show all 2 Author
- Energy 2015 v.88 pp. 417-429
- carbon dioxide; coal; energy; energy costs; greenhouse gas emissions; markets; models; natural gas; oils; prices; probability
- ... 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 ...